scholarly journals An Integral Test on Time-Dependent Local Extinction for Super-coalescing Brownian Motion with Lebesgue Initial Measure

2011 ◽  
Vol 26 (1) ◽  
pp. 31-45
Author(s):  
Hui He ◽  
Zenghu Li ◽  
Xiaowen Zhou
Keyword(s):  
Brownian Motion ◽  
Local Extinction ◽  
Time Dependent ◽  
Integral Test ◽  
Initial Measure

scholarly journals A generalized perspective of Fourier and Fick’s laws: Magnetized effects of Cattaneo-Christov models on transient nanofluid flow between two parallel plates with Brownian motion and thermophoresis

2020 ◽  
Vol 9 (1) ◽  
pp. 201-222 ◽  
Author(s):  
Usha Shankar ◽  
Neminath B. Naduvinamani ◽  
Hussain Basha
Keyword(s):  
Brownian Motion ◽  
Joule Heating ◽  
Concentration Field ◽  
Double Diffusion ◽  
Diffusion Models ◽  
Time Dependent ◽  
Parallel Plates ◽  
Nanofluid Flow ◽  
Casson Nanofluid ◽  
Highly Nonlinear

AbstractPresent research article reports the magnetized impacts of Cattaneo-Christov double diffusion models on heat and mass transfer behaviour of viscous incompressible, time-dependent, two-dimensional Casson nanofluid flow through the channel with Joule heating and viscous dissipation effects numerically. The classical transport models such as Fourier and Fick’s laws of heat and mass diffusions are generalized in terms of Cattaneo-Christov double diffusion models by accounting the thermal and concentration relaxation times. The present physical problem is examined in the presence of Lorentz forces to investigate the effects of magnetic field on double diffusion process along with Joule heating. The non-Newtonian Casson nanofluid flow between two parallel plates gives the system of time-dependent, highly nonlinear, coupled partial differential equations and is solved by utilizing RK-SM and bvp4c schemes. Present results show that, the temperature and concentration distributions are fewer in case of Cattaneo-Christov heat and mass flux models when compared to the Fourier’s and Fick’s laws of heat and mass diffusions. The concentration field is a diminishing function of thermophoresis parameter and it is an increasing function of Brownian motion parameter. Finally, an excellent comparison between the present solutions and previously published results show the accuracy of the results and methods used to achieve the objective of the present work.

Moments of certain stochastic integrals occurring in mathematical physics

1992 ◽  
Vol 120 (3-4) ◽  
pp. 267-282 ◽  
Author(s):  
Lieven Smits
Keyword(s):  
Brownian Motion ◽  
Vector Field ◽  
Mathematical Physics ◽  
Time Dependent ◽  
Regularity Conditions ◽  
Stochastic Integrals ◽  
Cauchy Problems ◽  
Dependent Vector ◽  
Set Up

SynopsisWe give an expression for the n-th moment of certain Itô integrals. The integrands considered are nonanticipating functionals of the form s↦a(s, Xs), where a is a measurable time-dependent vector field in space satisfying mild regularity conditions, and Xs is standard translated Brownian motion. The expressions are similar to the Dyson-Phillips terms for magnetic Schrödinger semigroups.We use these expressions to establish properties of the solutions of certain Cauchy problems and we relate our results to the framework of generalised Dyson expansions as set up by Johnson and Lapidus.

scholarly journals Centre-of-mass like superposition of Ornstein–Uhlenbeck processes: A pathway to non-autonomous stochastic differential equations and to fractional diffusion

2018 ◽  
Vol 21 (5) ◽  
pp. 1420-1435 ◽  
Author(s):  
Mirko D’Ovidio ◽  
Silvia Vitali ◽  
Vittoria Sposini ◽  
Oleksii Sliusarenko ◽  
Paolo Paradisi ◽  
...  
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Stochastic Differential Equation ◽  
Gaussian Process ◽  
Relaxation Times ◽  
Random Variable ◽  
Fractional Diffusion ◽  
Time Dependent ◽  
Centre Of Mass ◽  
Time Scaling

Abstract We consider an ensemble of Ornstein–Uhlenbeck processes featuring a population of relaxation times and a population of noise amplitudes that characterize the heterogeneity of the ensemble. We show that the centre-of-mass like variable corresponding to this ensemble is statistically equivalent to a process driven by a non-autonomous stochastic differential equation with time-dependent drift and a white noise. In particular, the time scaling and the density function of such variable are driven by the population of timescales and of noise amplitudes, respectively. Moreover, we show that this variable is equivalent in distribution to a randomly-scaled Gaussian process, i.e., a process built by the product of a Gaussian process times a non-negative independent random variable. This last result establishes a connection with the so-called generalized grey Brownian motion and suggests application to model fractional anomalous diffusion in biological systems.

The sub-bifractional Brownian motion

2013 ◽  
Vol 50 (1) ◽  
pp. 67-121 ◽  
Author(s):  
Charles El-Nouty ◽  
Jean-Lin Journé
Keyword(s):  
Brownian Motion ◽  
Integral Test ◽  
Bifractional Brownian Motion

The sub-bifractional Brownian motion, which is a quasi-helix in the sense of Kahane, is presented. The upper classes of some of its increments are characterized by an integral test.

scholarly journals GENERALIZED (m, k)-Zipf LAW FOR FRACTIONAL BROWNIAN MOTION-LIKE TIME SERIES WITH OR WITHOUT EFFECT OF AN ADDITIONAL LINEAR TREND

2003 ◽  
Vol 14 (03) ◽  
pp. 351-365 ◽  
Author(s):  
PH. BRONLET ◽  
M. AUSLOOS
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Size Effects ◽  
Hurst Exponent ◽  
Linear Trend ◽  
Finite Size ◽  
Time Dependent ◽  
Finite Size Effects ◽  
The Relationship ◽  
Zipf Law

We have translated fractional Brownian motion (FBM) signals into a text based on two "letters", as if the signal fluctuations correspond to a constant stepsize random walk. We have applied the Zipf method to extract the ζ′ exponent relating the word frequency and its rank on a log–log plot. We have studied the variation of the Zipf exponent(s) giving the relationship between the frequency of occurrence of words of length m < 8 made of such two letters: ζ′ is varying as a power law in terms of m. We have also searched how the ζ′ exponent of the Zipf law is influenced by a linear trend and the resulting effect of its slope. We can distinguish finite size effects, and results depending whether the starting FBM is persistent or not, i.e., depending on the FBM Hurst exponent H. It seems then numerically proven that the Zipf exponent of a persistent signal is more influenced by the trend than that of an antipersistent signal. It appears that the conjectured law ζ′ = |2H - 1| only holds near H = 0.5. We have also introduced considerations based on the notion of a time dependent Zipf law along the signal.

scholarly journals On the Distribution of First Exit Time for Brownian Motion with Double Linear Time-Dependent Barriers

2013 ◽  
Vol 2013 ◽  
pp. 1-5
Author(s):  
Lin Xu ◽  
Dongjin Zhu
Keyword(s):  
Brownian Motion ◽  
Linear Time ◽  
Exit Time ◽  
Time Dependent ◽  
First Exit Time ◽  
Main Method ◽  
Analytical Expression ◽  
Finite Series ◽  
Girsanov Transform ◽  
Linear Barrier

This paper focuses on the first exit time for a Brownian motion with a double linear time-dependent barrier specified by y=a+bt, y=ct, (a>0, b<0, c>0). We are concerned in this paper with the distribution of the Brownian motion hitting the upper barrier before hitting the lower linear barrier. The main method we applied here is the Girsanov transform formula. As a result, we expressed the density of such exit time in terms of a finite series. This result principally provides us an analytical expression for the distribution of the aforementioned exit time and an easy way to compute the distribution of first exit time numerically.

scholarly journals The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2

2014 ◽  
Vol 17 (04) ◽  
pp. 1450030 ◽  
Author(s):  
Litan Yan ◽  
Junfeng Liu ◽  
Chao Chen
Keyword(s):  
Banach Space ◽  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Local Time ◽  
Borel Function ◽  
Time Dependent ◽  
Hurst Index ◽  
Dependent Case ◽  
Measurable Functions ◽  
Quadratic Covariation

In this paper, we study the generalized quadratic covariation of f(BH) and BH defined by [Formula: see text] in probability, where f is a Borel function and BH is a fractional Brownian motion with Hurst index 0 < H < 1/2. We construct a Banach space [Formula: see text] of measurable functions such that the generalized quadratic covariation exists in L2(Ω) and the Bouleau–Yor identity takes the form [Formula: see text] provided [Formula: see text], where [Formula: see text] is the weighted local time of BH. These are also extended to the time-dependent case, and as an application we give the identity between the generalized quadratic covariation and the 4-covariation [g(BH), BH, BH, BH] when [Formula: see text].

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