Multifractality of Brownian motion near absorbing polymers.

Mixed analytical-stochastic simulation method for the recovery of a Brownian gradient source from probability fluxes to small windows

Is it possible to recover the position of a source from the steady-state fluxes of Brownian particles to small absorbing windows located on the boundary of a domain? To address this question, we develop a numerical procedure to avoid tracking Brownian trajectories in the entire infinite space. Instead, we generate particles near the absorbing windows, computed from the analytical expression of ...

Perturbation theory for fractional Brownian motion in presence of absorbing boundaries.

Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations (x(t(1))x(t(2)))=D(t(1)(2H)+t(2)(2H)-|t(1)-t(2)|(2H)), where H, with 0<H<1, is called the Hurst exponent. For H=1/2, x(t) is a Brownian motion, while for H≠1/2, x(t) is a non-Markovian process. Here we study x(t) in presence of an absorbing boundary at the origin and focus on the probability density P...

Some Results on Multiscale Queueing Analysis

Based on a general multifractal queueing approximation some results on multiscale queueing analysis are presented. The results include the well-known Weibullian tail for the important case of the monofractal fractional Brownian motion (fBm) input traffic. It also provides the basics for a new practical method for queueing performance evaluation of multifractal traffic. In addition, several impa...

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

Multiscaling nature of sonic velocities and lithology in the upper crystalline crust: evidence from the KTB Main Borehole

The observed scaling of sonic logs is generally described using a monofractal model (fractional Brownian motion with Hurst exponent typically between 0.1 and 0.2, or fractional Lévy motion); even though such a description recognizes the existence of the self-similarity of the logs, it offers only a limited account of the actual symmetry, as it misses the displayed heterogeneous fractality. Inte...