相关论文: On the Time for Brownian Motion to Visit Every Poi…

Area fluctuations of a Brownian excursion are described by the Airy distribution, which found applications in different areas of physics, mathematics and computer science. Here we generalize this distribution to describe the area…

We consider the problem of finding a stopping time that minimises the $L^1$-distance to $\theta$, the time at which a L\'evy process attains its ultimate supremum. This problem was studied in [12] for a Brownian motion with drift and a…

We study theoretically, experimentally and numerically the probability distribution $F(t_f|x_0,L)$ of the first passage times $t_f$ needed by a freely diffusing Brownian particle to reach a target at a distance $L$ from the initial position…

When a flux of Brownian particles is injected in a narrow window located on the surface of a bounded domain, these particles diffuse and can eventually escape through a cluster of narrow windows. At steady-state, we compute asymptotically…

A laterally confined thin elastic sheet lying on a liquid substrate displays regular undulations, called wrinkles, characterized by a spatially extended energy distribution and a well-defined wavelength $\lambda$. As the confinement…

This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform…

We unify Brownian motion and quantum mechanics in a single mathematical framework. In particular, we show that non-relativistic quantum mechanics of a single spinless particle on a flat space can be described by a Wiener process that is…

Let $X$ be a random walk on the torus of side length $N$ in dimension $d\geq 3$ with uniform starting point, and $t_{\text{cov}}$ be the expected value of its cover time, which is the first time that $X$ has visited every vertex of the…

We consider a run-and-tumble particle on a finite interval $[a,b]$ with two absorbing end points. The particle has an internal velocity state that switches between three values $v,0,-v$ at exponential times, thus incorporating positive…

This paper is concerned with the mathematical analysis of the inverse random source problem for the time fractional diffusion equation, where the source is assumed to be driven by a fractional Brownian motion. Given the random source, the…

This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, based on excursion theory and using the Brownian meander, is…

We prove that for a standard Brownian motion, there exists a first-passage-time density function through a locally H\"older continuous curve with exponent greater than 1/2. By using a property of local time of a standard Brownian motion and…

A particle diffusing around a point of stable mechanical equilibrium in a static but non-conservative force field enters into a steady state characterized by circulation in the probability flux. Circulation in such a Brownian vortex is not…

The purpose of this work is to construct a {\it Brownian motion} with values in simplicial complexes with piecewise differential structure. In order to state and prove the existence of such Brownian motion, we define a family of continuous…

Given a two-dimensional correlated diffusion process, we determine the joint density of the first passage times of the process to some constant boundaries. This quantity depends on the joint density of the first passage time of the first…

Under mean radius of curvature flow, a closed convex surface in Euclidean space is known to expand exponentially to infinity. In the 3-dimensional case we prove that the oriented normals to the flowing surface converge to the oriented…

This article is concerned with the joint law of an integrated Wishart bridge process and the trace of an integrated inverse Wishart bridge process over the interval $ \left[0,t\right] $. Its Laplace transform is obtained by studying the…

The distribution of the first-passage time (FPT)$T_a$ for a Brownian particle with drift $\mu$ subject to hitting an absorber at a level $a>0$ is well-known and given by its density $\gamma(t) = \frac{a}{\sqrt{2 \pi t^3} } e^{-\frac{(a-\mu…

We consider an active Brownian particle in a $d$-dimensional harmonic trap, in the presence of translational diffusion. While the Fokker-Planck equation can not in general be solved to obtain a closed form solution of the joint distribution…

In this paper, we solve Laplace equation analytically by using differential transform method. For this purpose, we consider four models with two Dirichlet and two Neumann boundary conditions and obtain the corresponding exact solutions. The…