Related papers: First Passage Densities and Boundary Crossing Prob…
We study the distribution of first passage time (FPT) in Levy type of anomalous diffusion. Using recently formulated fractional Fokker-Planck equation we obtain three results. (1) We derive an explicit expression for the FPT distribution in…
We combine the processes of resetting and first-passage to define \emph{first-passage resetting}, where the resetting of a random walk to a fixed position is triggered by a first-passage event of the walk itself. In an infinite domain,…
The first-passage time is proposed as an independent thermodynamic parameter of the statistical distribution that generalizes the Gibbs distribution. The theory does not include the determination of the first passage statistics itself. A…
A horizontal $N$-dimensional plane, having a diffusion of its own, exchanges with the lower half space. There, a reaction-diffusion process, modelled by a free boundary problem, takes place. We wish to understand whether, and how, the free…
We examine the mean first passage time for a particle driven by highly correlated Gaussian fluctuations to reach one or more predetermined boundaries. We discuss a numerical algorithm to generate power-law correlated fluctuations and apply…
In this paper we present a comprehensive analysis of the solution of the classical problem of finding the distribution density of a random variable - the first passage time to a given domain by the trajectory of a $p$-adic Markov stochastic…
When the unconditioned process is a diffusion living on the half-line $x \in ]-\infty,a[$ in the presence of an absorbing boundary condition at position $x=a$, we construct various conditioned processes corresponding to finite or infinite…
Diffusion condensation is a dynamic process that yields a sequence of multiscale data representations that aim to encode meaningful abstractions. It has proven effective for manifold learning, denoising, clustering, and visualization of…
We consider a one-dimensional diffusion process with coefficients that are periodic outside of a finite 'interface region'. The question investigated in this article is the limiting long time / large scale behaviour of such a process under…
We study densities of two-dimensional diffusion processes with one non-negative component. For such diffusions, the density may explode at the boundary, thus making a precise specification of the boundary condition in the corresponding…
We study the Brownian motion of a classical particle in one-dimensional inhomogeneous environments where the transition probabilities follow quasiperiodic or aperiodic distributions. Exploiting an exact correspondence with the…
We derive the asymptotic first passage time (FPT) distribution for space-dependent variable-order time-fractional diffusion, where the fractional exponent $\alpha(x)$ varies with position. For any sufficiently smooth $\alpha(x)$ on a finite…
Consider the initial-boundary value problem for the 2-speed Carleman model of the Boltzmann equation of the kinetic theory of gases set in some bounded interval with boundary conditions prescribing the density of particles entering the…
We consider a Markovian jumping process with two absorbing barriers, for which the waiting-time distribution involves a position-dependent coefficient. We solve the Fokker-Planck equation with boundary conditions and calculate the mean…
Virtually all the emergent properties of a complex system are rooted in the non-homogeneous nature of the behaviours of its elements and of the interactions among them. However, the fact that heterogeneity and correlations can appear…
The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that…
We consider the numerical integration of Langevin equations for particles in a channel, in the presence of boundary conditions fixing the concentration values at the ends. This kind of boundary condition appears for instance when…
In this paper, we mainly introduce a general method to study the existence and uniqueness of solution of free boundary problems with partially degenerate diffusion.
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
We investigate via Monte Carlo numerical simulations and theoretical considerations the outflux of random walkers moving in an interval bounded by an interface exhibiting channels (pores, doors) which undergo an open/close cycle according…