相关论文: Periodic Homogenization for Hypoelliptic Diffusion…
We consider two different models for colloidal particles. In the first model, we consider their free motion to be diffusion while in the second model we take it to be integrated Ornstein-Uhlenbeck process. In both models, we derived…
We consider a quantum particle coupled (with strength $\la$) to a spatial array of independent non-interacting reservoirs in thermal states (heat baths). Under the assumption that the reservoir correlations decay exponentially in time, we…
We discuss a relativistic diffusion in the proper time in an approach of Schay and Dudley. We derive (Langevin) stochastic differential equations in various coordinates.We show that in some coordinates the stochastic differential equations…
In this paper, we consider an ergodic Ornstein-Uhlenbeck process with jumps driven by a Brownian motion and a compensated Poisson process, whose drift and diffusion coefficients as well as its jump intensity depend on unknown parameters.…
The Fokker-Planck equation provides complete statistical description of a particle undergoing random motion in a solvent. In the presence of Lorentz force due to an external magnetic field, the Fokker-Planck equation picks up a tensorial…
In this paper, the first microscopic approach to the Brownian motion is developed in the case where the mass density of the suspending bath is of the same order of magnitude as that of the Brownian (B) particle. Starting from an extended…
We analyze the microscopic model of quantum Brownian motion, describing a Brownian particle interacting with a bosonic bath through a coupling which is linear in the creation and annihilation operators of the bath, but may be a nonlinear…
We solve a model of sluggish stochastic motion in which a Brownian particle diffuses with a diffusion coefficient that decays algebraically with the distance to the origin, as $|x|^{-\alpha}$. Additionally, the particle resets with a…
We prove a superdiffusive central limit theorem for the displacement of a test particle in the periodic Lorentz gas in the limit of large times $t$ and low scatterer densities (Boltzmann-Grad limit). The normalization factor is $\sqrt{t\log…
Motivated by the modeling of the temporal structure of the velocity field in a highly turbulent flow, we propose and study a linear stochastic differential equation that involves the ingredients of a Ornstein-Uhlenbeck process, supplemented…
Overdamped motion of Brownian particles in tilted piecewise linear periodic potentials is considered. Explicit algebraic expressions for the diffusion coefficient, current, and coherence level of Brownian transport are derived. Their…
We consider a Vlasov-Fokker-Planck equation governing the evolution of the density of interacting and diffusive matter in the space of positions and velocities. We use a probabilistic interpretation to obtain convergence towards equilibrium…
We refer by threshold Ornstein-Uhlenbeck to a continuous-time threshold autoregressive process. It follows the Ornstein-Uhlenbeck dynamics when above or below a fixed level, yet at this level (threshold) its coefficients can be…
This paper is devoted to the homogenization of Shr\"odinger type equations with periodically oscillating coefficients of the diffusion term, and a rapidly oscillating periodic time-dependent potential. One convergence theorem is proved and…
The indefinite integral of the homogenized Ornstein-Uhlenbeck process is a well-known model for physical Brownian motion, modelling the behaviour of an object subject to random impulses [L. S. Ornstein, G. E. Uhlenbeck: On the theory of…
We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by L\'evy alpha-stable…
We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be progressively measurable and locally bounded. In one…
We study the relaxation of a Brownian particle with long range memory under confinement in one dimension. The particle diffuses in an arbitrary confining potential and resets at random times to previously visited positions, chosen with a…
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…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…