Related papers: On certain bounds for first-crossing-time probabil…
We study the inverse boundary crossing problem for diffusions. Given a diffusion process $X_t$, and a survival distribution $p$ on $[0,\infty)$, we demonstrate that there exists a boundary $b(t)$ such that $p(t)=\mathbb{P}[\tau >t]$, where…
Motivated by a novel method for granular segregation, we analyze the one dimensional drift-diffusion between two absorbing boundaries. The time evolution of the probability distribution and the rate of absorption are given by explicit…
We have random number of independent diffusion processes with absorption on boundaries in some region at initial time $t=0$. The initial numbers and positions of processes in region is defined by Poisson random measure. It is required to…
The repeated presentation of an identical visual stimulus in the receptive field of a neuron may evoke different spiking patterns at each trial. Probabilistic methods are essential to understand the functional role of this variance within…
The problem of a diffusing particle moving among diffusing traps is analyzed in general space dimension d. We consider the case where the traps are initially randomly distributed in space, with uniform density rho, and derive upper and…
Consider a system of particles evolving as independent and identically distributed (i.i.d.) random walks. Initial fluctuations in the particle density get translated over time with velocity $\vec{v}$, the common mean velocity of the random…
We consider the propagation of a single particle in a random chain, assisted by the coupling to dispersive bosons. Time evolution treated with rate equations for hopping between localized states reveals a qualitative difference between…
We derive the first-passage-time statistics of a Brownian motion driven by an exponential time-dependent drift up to a threshold. This process corresponds to the signal integration in a simple neuronal model supplemented with an…
We investigate the first passage statistics of active continuous time random walks with Poissonian waiting time distribution on a one dimensional infinite lattice and a two dimensional infinite square lattice. We study the small and large…
We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other similar spaces of probability measures into locally compact…
We consider a bivariate first hitting-time model in which durations are the crossing times of dependent compound Poisson processes with fixed thresholds. The identifiability of the model is discussed, and likelihood estimators of the model…
Motivated by several applications, including neuronal models, we consider the McKean-Vlasov limit for mean-field systems of interacting diffusions with simultaneous jumps. We prove propagation of chaos via a coupling technique that involves…
Second order recurrence of a $d$-dimensional diffusion with an additive Wiener process, with switching, and with one recurrent and one transient regime and constant switching intensities is established under suitable conditions. The…
We derive Wasserstein distance bounds between the probability distributions of a stochastic integral (It\^o) process with jumps $(X_t)_{t\in [0,T]}$ and a jump-diffusion process $(X^\ast_t)_{t\in [0,T]}$. Our bounds are expressed using the…
We propose a discrete time discrete space Markov chain approximation with a Brownian bridge correction for computing curvilinear boundary crossing probabilities of a general diffusion process on a finite time interval. For broad classes of…
We investigate the first-passage properties of a jump process with a constant drift, focusing on two key observables: the first-passage time $\tau$ and the number of jumps $n$ before the first-passage event. By mapping the problem onto an…
We investigate dynamically and statistically diffusive motion in a Klein-Gordon particle chain in the presence of disorder. In particular, we examine a low energy (subdiffusive) and a higher energy (self-trapping) case and verify that…
We investigate performance of approximations put forth in \citeNP{[Malinovskii 2017a]} and \citeNP{[Malinovskii 2017b]} for the distribution of the time of first level $u$ crossing by the random process $\homV{s}-cs$, $s>0$, where…
In this paper we present a computation of the mean first-passage times both for a random walk in a discrete bounded lattice, between a starting site and a target site, and for a Brownian motion in a bounded domain, where the target is a…
This paper is an overview of the classical level crossing problem which is studied extensively in the literature and is fundamental in many branches of applied probability. We discuss a number of approximations with an emphasis on their…