We discuss the class of “Quadratic Normal Volatility” (QNV) models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We characterize these models as those that can be obtained from stopped Brownian motion by a simple transformation and a change of measure that depends only on the terminal value of the stopped Brownian motion. This exp...

Dynamical instrument limitations, such as finite detection bandwidth, do not simply add statistical errors to fluctuation measurements, but can create significant systematic biases that affect the measurement of steady-state properties. Such effects must be considered when calibrating ultra-sensitive force probes by analyzing the observed Brownian fluctuations. In this article, we present a nov...

We propose a new model of firm reputation where product quality is persistent and determined by the firm’s past investments. Reputation is then modeled directly as the market belief about quality. We analyze how investment incentives depend on the firm’s reputation and derive implications for reputational dynamics. Reputational incentives depend on the specification of market learning. When con...

We introduce the software package ReaDDy for simulation of detailed spatiotemporal mechanisms of dynamical processes in the cell, based on reaction-diffusion dynamics with particle resolution. In contrast to other particle-based reaction kinetics programs, ReaDDy supports particle interaction potentials. This permits effects such as space exclusion, molecular crowding and aggregation to be mode...

Dynamic systems in many branches of science and industry are often perturbed by various types of environmental noise. Analysis of this class of models are very popular among researchers. In this paper, we present a method for approximating solution of fractional-order stochastic delay differential equations driven by Brownian motion. The fractional derivatives are considered in the Caputo sense...

The present article gives an overview of analytical and simulation approaches to describe the relaxation dynamics of proteins. Particularly emphasised are recent developments of theoretical models, such as fractional Brownian dynamics. The latter connects dynamical events seen on the pico- to nanosecond time scale, accessible to quasielastic neutron scattering, and functional dynamics of protei...

Using both Brownian and molecular dynamics, we replicate many of the salient features of Kv1.2, including the current-voltage-concentration profiles and the binding affinity and binding mechanisms of charybdotoxin, a scorpion venom. We also elucidate how structural differences in the inner vestibule can give rise to significant differences in its permeation characteristics. Current-voltage-conc...