Related papers: The probability that Brownian motion almost covers…
The phenomenon of tumbling of microscopic objects is commonly associated with shear flows. We address the question of whether tumbling can also occur in stretching-dominated flows. To answer this, we study the dynamics of a semi-flexible…
The expected areas of the Wiener sausages swept by a disc attached to the two-dimensional Brownian Bridge joining the origin to a point x over a time interval [0,t] are computed. It is proved that the leading term of the expectation is…
The generalized grey Brownian motion is a time continuous self-similar with stationary increments stochastic process whose one dimensional distributions are the fundamental solutions of a stretched time fractional differential equation.…
Consider the all-time maximum of a Brownian motion with negative drift. Assume that this process is sampled at certain points in time, where the time between two consecutive points is rendered by an Erlang distribution with mean $1/\omega$.…
A well-known result with respect to the one dimensional nearest-neighbor symmetric simple exclusion process is the convergence to fractional Brownian motion with Hurst parameter 1/4, in the sense of finite-dimensional distributions, of the…
Consider an n-fold integrated Brownian motion. We show that a simple change in time and scale transforms it into a stationary Gaussian process. The collection of stationary processes so constructed not only constitutes an interesting family…
We consider processes which have the distribution of standard Brownian motion (in the forward direction of time) starting from random points on the trajectory which accumulate at $-\infty$. We show that these processes do not have to have…
We show that exact sampling of the first passage event can be done for a Levy process with unbounded variation, if the process can be embedded in a subordinated standard Brownian motion. By sampling a series of first exit events of the…
Brownian motion is a ubiquitous physical phenomenon across the sciences. After its discovery by Brown and intensive study since the first half of the 20th century, many different aspects of Brownian motion and stochastic processes in…
We study the one-dimensional motion of a Brownian particle inside a confinement described by two reactive boundaries which can partially reflect or absorb the particle. Understanding the effects of such boundaries is important in physics,…
We analyze the Brownian Motion limit of a prototypical unit step reinforced random-walk on the half line. A reinforced random walk is one which changes the weight of any edge (or vertex) visited to increase the frequency of return visits.…
In this paper, we obtain the existence and finite-time blow-up for the solution to a system of semilinear stochastic partial differential equations driven by a combination of Brownian and fractional Brownian motions. Under suitable…
Passive scalar motion in a family of random Gaussian velocity fields with long-range correlations is shown to converge to persistent fractional Brownian motions in long times.
The strong $L^2$-approximation of occupation time functionals is studied with respect to discrete observations of a $d$-dimensional c\`adl\`ag process. Upper bounds on the error are obtained under weak assumptions, generalizing previous…
We study the persistence probability for some two-sided discrete-time Gaussian sequences that are discrete-time analogs of fractional Brownian motion and integrated fractional Brownian motion, respectively. Our results extend the…
We give asymptotic estimations on the area of the sets of points with large Brownian winding, and study the average winding between a planar Brownian motion and a Poisson point process of large intensity on the plane. This allows us to give…
We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…
We study the height of the maximal particle at time $t$ of a one dimensional branching Brownian motion with a space-dependent branching rate. The branching rate is set to zero in finitely many intervals (obstacles) of order $t$. We obtain…
The Arcsine laws of Brownian motion are a collection of results describing three different statistical quantities of one-dimensional Brownian motion: the time at which the process reaches its maximum position, the total time the process…
In this paper we prove that the centered three-dimensional Wiener sausage can be strongly approximated by a one-dimensional Brownian motion running at a suitable time clock. The strong approximation gives all possible laws of iterated…