In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage-free under proportional transaction costs in the same spirit of Guasoni et al [14, 15]. In particular, we obtain a drift condition which is similar in nature to the classical HJM no-arbitrage drift restriction. ...

Spherical Janus particles are one of the most prominent examples for active Brownian objects. Here, we study the diffusiophoretic motion of such microswimmers in experiment and in theory. Three stages are found: simple Brownian motion at short times, superdiffusion at intermediate times, and finally diffusive behavior again at long times. These three regimes observed in the experiments are comp...

The thermal conductivity of a fluid can be significantly enhanced by dispersing nano-sized particles in it, and the resultant fluid is termed as "nanofluid". A theoretical model for estimating the thermal conductivity of a nanofluid has been proposed here. It is based on the mechanism that evenly dispersed nanoparticles within a nanofluid undergo Brownian motion in course of which the nanoparti...

A new method, weighted-ensemble Brownian dynamics, is proposed for the simulation of protein-association reactions and other events whose frequencies of outcomes are constricted by free energy barriers. The method features a weighted ensemble of trajectories in configuration space with energy levels dictating the proper correspondence between "particles" and probability. Instead of waiting a ve...

Based on extensive Brownian dynamics simulations we study the thermal motion of a tracer bead in a cross-linked, flexible gel in the limit when the tracer particle size is comparable to or even larger than the equilibrium mesh size of the gel. The analysis of long individual trajectories of the tracer demonstrates the existence of pronounced transient anomalous diffusion. From the time averaged...

Several Brownian Dynamics numerical schemes for treating stochastic differential equations at the position Langevin level are analyzed from the point of view of their algorithmic efficiency. The algorithms are tested using model colloidal fluid of particles interacting via the Yukawa potential. Limitations in the conventional Brownian Dynamics algorithm are shown and it is demonstrated that muc...

We employ recently revealed structural information for the potassium channel in molecular and Brownian dynamics simulations to investigate the physical mechanisms involved in the transport of ions across this channel. We show that ion selectivity arises from the ability of the channel protein to completely solvate potassium ions but not the smaller sodium ions. From energy and free energy pertu...

A combination of confocal microscopy and rheology experiments, Brownian dynamics (BD) and molecular dynamics (MD) simulations and mode coupling theory (MCT) have been applied in order to investigate the effect of shear rate on the transient dynamics and stress-strain relations in supercooled and glassy systems under shear. Immediately after shear is switched on, the microscopic dynamics display...

In a wide variety of systems, knowledge of the behaviour of semidilute polymer solutions is of fundamental importance to obtaining predictive understanding. In this work, we use Brownian dynamics simulations to examine the concentration dependence of the dynamics of semidilute polymer solutions at equilibrium. Due to the overlap of polymer coils with increasing concentration, the properties of ...

A model of neural network is proposed, in which the dynamics of the internal state of neurons is based on the Brownian motion with the chaotic force, and the bifurcation parameter of the chaotic force is modulated by the position of the Brownian particles. This model is applied to the associative memory problem. The parameter dependence of the dynamics is studied. It is shown that the model can...