相关论文: DIFFUSION IN ONE DIMENSIONAL RANDOM MEDIUM AND HYP…
The paper deals with exponential functionals of the linear Brownian motion which arise in different contexts such as continuous time finance models and one-dimensional disordered models. We study some properties of these exponential…
We introduce the stochastic process of incremental multifractional Brownian motion (IMFBM), which locally behaves like fractional Brownian motion with a given local Hurst exponent and diffusivity. When these parameters change as function of…
A random walk scheme, consisting of alternating phases of regular Brownian motion and L\'evy walks, is proposed as a model for run-and-tumble bacterial motion. Within the continuous-time random walk approach we obtain the long-time and…
Based on the generalized Langevin equation for the momentum of a Brownian particle a generalized asymptotic Einstein relation is derived. It agrees with the well-known Einstein relation in the case of normal diffusion but continues to hold…
The celebrated Sutherland-Einstein relation for systems at thermal equilibrium states that spread of trajectories of Brownian particles is an increasing function of temperature. Here, we scrutinize diffusion of underdamped Brownian motion…
Motivated by subdiffusive motion of bio-molecules observed in living cells we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and…
Lateral diffusion of molecules on surfaces plays a very important role in various biological processes, including lipid transport across the cell membrane, synaptic transmission and other phenomena such as exo- and endocytosis, signal…
The non-thermal nature of self-propelling colloids offers new insights into non-equilibrium physics. The central mathematical model to describe their trajectories is active Brownian motion, where a particle moves with a constant speed,…
Diffusion with stochastic transport is investigated here when the random driving process is a very general Gaussian process, including Fractional Brownian motion. The purpose is the comparison with a deterministic PDE, which in certain…
Diffusive transport properties of a quantum Brownian particle moving in a tilted spatially periodic potential and strongly interacting with a thermostat are explored. Apart from the average stationary velocity, we foremost investigate the…
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical results in diffusion theory. To illustrate we characterize…
We give a probabilistic representation of a one-dimensional diffusion equation where the solution is discontinuous at $0$ with a jump proportional to its flux. This kind of interface condition is usually seen as a semi-permeable barrier.…
It is well known that Brownian motion enjoys several distributional invariances such as the scaling property and the time reversal. In this paper, we prove another invariance of Brownian motion that is compatible with the time reversal. The…
We derive backward and forward fractional Schr\"odinger type of equations for the distribution of functionals of the path of a particle undergoing anomalous diffusion. Fractional substantial derivatives introduced by Friedrich and…
Diffusion processes $(\underline{\bf X}_d(t))_{t\geq 0}$ moving inside spheres $S_R^d \subset\mathbb{R}^d$ and reflecting orthogonally on their surfaces $\partial S_R^d$ are considered. The stochastic differential equations governing the…
Diffusive transport of particles or, more generally, small objects is a ubiquitous feature of physical and chemical reaction systems. In configurations containing confining walls or constrictions transport is controlled both by the…
We present an interesting connection between Brownian motion and magnetism. We use this to determine the distribution of areas enclosed by the path of a particle diffusing on a sphere. In addition, we find a bound on the free energy of an…
Prompted by an example arising in critical percolation, we study some reflected Brownian motions in symmetric planar domains and show that they are intertwined with one-dimensional diffusions. In the case of a wedge, the reflected Brownian…
We consider a particular class of n-dimensional homogeneous diffusions all of which have an identity diffusion matrix and a drift function that is piecewise constant and scale invariant. Abstract stochastic calculus immediately gives us…
The problem of Brownian motion in a periodic potential, under the influence of external forcing, which is either random or periodic in time, is studied in this paper. Multiscale techniques are used to derive general formulae for the steady…