Search results for "Brown"
showing 10 items of 478 documents
Signatures of noise-enhanced stability in metastable state
2005
The lifetime of a metastable state in the transient dynamics of an overdamped Brownian particle is analyzed, both in terms of the mean first passage time and by means of the mean growth rate coefficient. Both quantities feature non monotonic behaviors as a function of the noise intensity, and are independent signatures of the noise enhanced stability effect. They can therefore be alternatively used to evaluate and estimate the presence of this phenomenon, which characterizes metastability in nonlinear physical systems.
Hunting active Brownian particles: Learning optimal behavior
2021
We numerically study active Brownian particles that can respond to environmental cues through a small set of actions (switching their motility and turning left or right with respect to some direction) which are motivated by recent experiments with colloidal self-propelled Janus particles. We employ reinforcement learning to find optimal mappings between the state of particles and these actions. Specifically, we first consider a predator-prey situation in which prey particles try to avoid a predator. Using as reward the squared distance from the predator, we discuss the merits of three state-action sets and show that turning away from the predator is the most successful strategy. We then rem…
Statistical distributions for hamiltonian systems coupled to energy reservoirs and applications to molecular energy conversion
2008
We study systems with Hamiltonian dynamics type coupled to reservoirs providing free energy which may be converted into acceleration. In the first part we introduce general concepts, like canonical dissipative systems and find exact solutions of associated Fokker–Planck equations that describe time evolutions of systems at hand. Next we analyze dynamics in ratchets with energy support which might be treated by perturbation theory around canonical dissipative systems. Finally we discuss possible applications of these ratchet systems to model the mechanism of biological energy conversion and molecular motors.
$L_2$-variation of L\'{e}vy driven BSDEs with non-smooth terminal conditions
2016
We consider the $L_2$-regularity of solutions to backward stochastic differential equations (BSDEs) with Lipschitz generators driven by a Brownian motion and a Poisson random measure associated with a L\'{e}vy process $(X_t)_{t\in[0,T]}$. The terminal condition may be a Borel function of finitely many increments of the L\'{e}vy process which is not necessarily Lipschitz but only satisfies a fractional smoothness condition. The results are obtained by investigating how the special structure appearing in the chaos expansion of the terminal condition is inherited by the solution to the BSDE.
Time-dependent weak rate of convergence for functions of generalized bounded variation
2016
Let $W$ denote the Brownian motion. For any exponentially bounded Borel function $g$ the function $u$ defined by $u(t,x)= \mathbb{E}[g(x{+}\sigma W_{T-t})]$ is the stochastic solution of the backward heat equation with terminal condition $g$. Let $u^n(t,x)$ denote the corresponding approximation generated by a simple symmetric random walk with time steps $2T/n$ and space steps $\pm \sigma \sqrt{T/n}$ where $\sigma > 0$. For quite irregular terminal conditions $g$ (bounded variation on compact intervals, locally H\"older continuous) the rate of convergence of $u^n(t,x)$ to $u(t,x)$ is considered, and also the behavior of the error $u^n(t,x)-u(t,x)$ as $t$ tends to $T$
Isotropic stochastic flow of homeomorphisms on Rd associated with the critical Sobolev exponent
2008
Abstract We consider the critical Sobolev isotropic Brownian flow in R d ( d ≥ 2 ) . On the basis of the work of LeJan and Raimond [Y. LeJan, O. Raimond, Integration of Brownian vector fields, Ann. Probab. 30 (2002) 826–873], we prove that the corresponding flow is a flow of homeomorphisms. As an application, we construct an explicit solution, which is also unique in a certain space, to the stochastic transport equation when the associated Gaussian vector fields are divergence free.
On first exit times and their means for Brownian bridges
2017
For a Brownian bridge from $0$ to $y$ we prove that the mean of the first exit time from interval $(-h,h), \,\, h>0,$ behaves as $O(h^2)$ when $h \downarrow 0.$ Similar behavior is seen to hold also for the 3-dimensional Bessel bridge. For Brownian bridge and 3-dimensional Bessel bridge this mean of the first exit time has a puzzling representation in terms of the Kolmogorov distribution. The result regarding the Brownian bridge is applied to prove in detail an estimate needed by Walsh to determine the convergence of the binomial tree scheme for European options.
Mean square rate of convergence for random walk approximation of forward-backward SDEs
2020
AbstractLet (Y,Z) denote the solution to a forward-backward stochastic differential equation (FBSDE). If one constructs a random walk$B^n$from the underlying Brownian motionBby Skorokhod embedding, one can show$L_2$-convergence of the corresponding solutions$(Y^n,Z^n)$to$(Y, Z).$We estimate the rate of convergence based on smoothness properties, especially for a terminal condition function in$C^{2,\alpha}$. The proof relies on an approximative representation of$Z^n$and uses the concept of discretized Malliavin calculus. Moreover, we use growth and smoothness properties of the partial differential equation associated to the FBSDE, as well as of the finite difference equations associated to t…
Large systems of path-repellent Brownian motions in a trap at positive temperature
2006
We study a model of $ N $ mutually repellent Brownian motions under confinement to stay in some bounded region of space. Our model is defined in terms of a transformed path measure under a trap Hamiltonian, which prevents the motions from escaping to infinity, and a pair-interaction Hamiltonian, which imposes a repellency of the $N$ paths. In fact, this interaction is an $N$-dependent regularisation of the Brownian intersection local times, an object which is of independent interest in the theory of stochastic processes. The time horizon (interpreted as the inverse temperature) is kept fixed. We analyse the model for diverging number of Brownian motions in terms of a large deviation princip…
Rough linear PDE's with discontinuous coefficients - existence of solutions via regularization by fractional Brownian motion
2020
We consider two related linear PDE's perturbed by a fractional Brownian motion. We allow the drift to be discontinuous, in which case the corresponding deterministic equation is ill-posed. However, the noise will be shown to have a regularizing effect on the equations in the sense that we can prove existence of solutions for almost all paths of the fractional Brownian motion.