Small Values of the Maximum for the Integral of Fractional Brownian Motion

We consider the integral of fractional Brownian motion (IFBM) and its functionals ξ _T on the intervals (0,T) and (?T,T) of the following types: the maximum M _T , the position of the maximum, the occupation time above zero etc. We show how the asymptotics of P(ξ _T <1)=p _T ,T→∞, is related to the Hausdorff dimension of Lagrangian regular points for the inviscid Burgers equation with FBM initial velocity. We produce computational evidence in favor of a power asymptotics for p _T . The data do not reject the hypothesis that the exponent θ of the power law is related to the similarity parameter H of fractional Brownian motion as follows: θ=?(1?H) for the interval (?T,T) and θ=?H(1?H) for (0,T). The point 0 is special in that IFBM and its derivative both vanish there.     

Self-avoiding Fractional Brownian Motion��The Edwards Model

In this work we extend Varadhan??s construction of the Edwards polymer model to the case of fractional Brownian motions in ? ^d , for any dimension d??2, with arbitrary Hurst parameters H??1/d.     

A Renormalized Rough Path over Fractional Brownian Motion

We construct in this article a rough path over fractional Brownian motion with arbitrary Hurst index by (i) using the Fourier normal ordering algorithm introduced in (Unterberger, Commun Math Phy 298(1):1–36, 2010) to reduce the problem to that of regularizing tree iterated integrals and (ii) applying the Bogolioubov-Parasiuk-Hepp-Zimmermann (BPHZ) renormalization algorithm to Feynman diagrams representing tree iterated integrals.     

Persistence Exponents for Gaussian Random Fields of Fractional Brownian Motion Type

Journal of Statistical Physics - The fractional Brownian motion of index 0?&lt;?H?&lt;?1, H-FBM, with d-dimensional time is considered on an expanding set $$ TDelta...     

Reinforced Brownian Motion: A Prototype

We analyze the Brownian Motion limit of a prototypical unit step reinforced random-walk on the half-line. A reinfoced random walk is one which changes the weight of any edge (or vertex) visited to increase the frequency of return visits. The generating function for the discrete case is first derived for the joint probability distribution of \(S_N\) (the location of the walker at the \(N^{th}\) step) and \(A_N\) , the maximum location the walker achieved in \(N\) steps. Then the bulk of the analysis concerns the statistics of the limiting Brownian walker, and of its “environment”, both parametrized by the amplitude \(\delta \) of the reinforcement. The walker marginal distribution can be interpreted as that of free diffusion with a source serving as a diffusing soft confinement, details depending very much on the value of \(-1< \delta < \infty \) .     

Quantization of Brownian Motion

Following our work on the quantization of nonconservative systems using fractional calculus, the canonical quantization of a system with Brownian motion is carried out according to the Dirac method. A suitable Lagrangian corresponding to the Langevin equation is set up. Further, a Hamiltonian is constructed and is transformed to Schrödinger's equation which is solved.     

Loop-Erasure of Planar Brownian Motion

We use a coupling technique to prove that there exists a loop-erasure of the time-reversal of a planar Brownian motion stopped on exiting a simply connected domain, and that the loop-erased curve is a radial SLE₂ curve. This result extends to Brownian motions and Brownian excursions under certain conditioning in a finitely connected plane domain, and the loop-erased curve is a continuous LERW curve.     

Testing of Multifractional Brownian Motion

Fractional Brownian motion (FBM) is a generalization of the classical Brownian motion. Most of its statistical properties are characterized by the self-similarity (Hurst) index 0<H<1. In nature one often observes changes in the dynamics of a system over time. For example, this is true in single-particle tracking experiments where a transient behavior is revealed. The stationarity of increments of FBM restricts substantially its applicability to model such phenomena. Several generalizations of FBM have been proposed in the literature. One of these is called multifractional Brownian motion (MFBM) where the Hurst index becomes a function of time. In this paper, we introduce a rigorous statistical test on MFBM based on its covariance function. We consider three examples of the functions of the Hurst parameter: linear, logistic, and periodic. We study the power of the test for alternatives being MFBMs with different linear, logistic, and periodic Hurst exponent functions by utilizing Monte Carlo simulations. We also analyze mean-squared displacement (MSD) for the three cases of MFBM by comparing the ensemble average MSD and ensemble average time average MSD, which is related to the notion of ergodicity breaking. We believe that the presented results will be helpful in the analysis of various anomalous diffusion phenomena.     

New Type of Brownian Motion

We consider an oscillator with a random mass for which the particles of the surrounding medium adhere to the oscillator for some random time after the collision (Brownian motion with adhesion for a harmonically bound particle). This is another form of a stochastic oscillator, different from oscillator usually studied that is subject to a random force or having random frequency or random damping. Calculation of the first two stationary moments shows that for white multiplicative noise of week strength the second moment coincides with that of usual Brownian motion, but for symmetric dichotomous noise, the second moment may appear the same type of the “energetic” instability, which exists for white noise random frequency or damping coefficient.     

On the Small Mass Limit of Quantum Brownian Motion with Inhomogeneous Damping and Diffusion

We study the small mass limit (or: the Smoluchowski–Kramers limit) of a class of quantum Brownian motions with inhomogeneous damping and diffusion. For Ohmic bath spectral density with a Lorentz–Drude cutoff, we derive the Heisenberg–Langevin equations for the particle’s observables using a quantum stochastic calculus approach. We set the mass of the particle to equal \(m = m_{0} \epsilon \), the reduced Planck constant to equal \(\hbar = \epsilon \) and the cutoff frequency to equal \(\varLambda = E_{\varLambda }/\epsilon \), where \(m_0\) and \(E_{\varLambda }\) are positive constants, so that the particle’s de Broglie wavelength and the largest energy scale of the bath are fixed as \(\epsilon \rightarrow 0\). We study the limit as \(\epsilon \rightarrow 0\) of the rescaled model and derive a limiting equation for the (slow) particle’s position variable. We find that the limiting equation contains several drift correction terms, the quantum noise-induced drifts, including terms of purely quantum nature, with no classical counterparts.     

Quantum Brownian Motion in a Simple Model System

We consider a quantum particle coupled (with strength λ) 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 prove that the motion of the particle is diffusive at large times for small, but finite λ. Our proof relies on an expansion around the kinetic scaling limit ( l\searrow 0{\lambda \searrow 0}, while time and space scale as λ⁻²) in which the particle satisfies a Boltzmann equation. We also show an equipartition theorem: the distribution of the kinetic energy of the particle tends to a Maxwell-Boltzmann distribution, up to a correction of O(λ²).     

Nonlinear Theory of Quantum Brownian Motion

A nonlinear theory of quantum Brownian motion in classical environment is developed based on a thermodynamically enhanced nonlinear Schrödinger equation. The latter is transformed via the Madelung transformation into a nonlinear quantum Smoluchowski-like equation, which is proven to reproduce key results from the quantum and classical physics. The application of the theory to a free quantum Brownian particle results in a nonlinear dependence of the position dispersion on time, being quantum generalization of the Einstein law of Brownian motion. It is shown that the time of decoherence from quantum to classical diffusion is proportional to the square of the thermal de Broglie wavelength divided by the classical Einstein diffusion constant.     

Survival of Near-Critical Branching Brownian Motion

Consider a system of particles performing branching Brownian motion with negative drift \(\mu= \sqrt{2 - \varepsilon}\) and killed upon hitting zero. Initially there is one particle at x>0. Kesten (Stoch. Process. Appl. 7:9–47, 1978) showed that the process survives with positive probability if and only if ε>0. Here we are interested in the asymptotics as ε→0 of the survival probability Q _μ (x). It is proved that if \(L=\pi/\sqrt{\varepsilon}\) then for all x∈?, lim? _ε→0 Q _μ (L+x)=θ(x)∈(0,1) exists and is a traveling wave solution of the Fisher-KPP equation. Furthermore, we obtain sharp asymptotics of the survival probability when x<L and L?x→∞. The proofs rely on probabilistic methods developed by the authors in (Berestycki et al. in arXiv:1001.2337, 2010). This completes earlier work by Harris, Harris and Kyprianou (Ann. Inst. Henri Poincaré Probab. Stat. 42:125–145, 2006) and confirms predictions made by Derrida and Simon (Europhys. Lett. 78:60006, 2007), which were obtained using nonrigorous PDE methods.     

非球形颗粒布朗运动的涨落-格子Boltzmann数值研究

采用涨落-格子Boltzmann方法对非球形颗粒(二维)的布朗运动进行直接数值模拟.数值结果包括椭圆形、矩形颗粒的速度均方值及速度自相关函数等.研究发现,对于非球形颗粒,其方向性并没有影响能量均分原理的适用性,每个自由度的能量由其速度或角速度的均方值确定,而且计算的颗粒平动温度和转动温度一致.此外,颗粒的速度自相关函数在相对长的时间内以~ct^-1的规律衰减,其系数c与颗粒的形状无关.     

Constrained Brownian Motion of a Single Ellipsoid in a Narrow Channel

We study the Brownian motion of a single ellipsoidal particle diffusing in a narrow channel by video-microscopy measurement. The experiments allow us to obtain the trajectories of ellipsoids and measure the diffusion coefficients. It is found that the channel constraints lead to suppression of the particle motion, especially the perpendicular motion to the channel, and the long axis of the particle tends to be parallel to the channel. A stable stratification phenomenon is observed, which is rarely discussed in studies of spherical particles. We also derive an approximate solution of theoretical prediction with the method of reflections, and obtain numerical simulation results using finite element software. They are proven to be effective by comparing them with the experimental results. All of these indicate that the aspect ratio and size of ellipsoid, the width of channel, and the transverse position distinctly affect the Brownian motion of ellipsoids.