Related papers: First-passage and risk evaluation under stochastic…
Many problems in finance require the information on the first passage time (FPT) of a stochastic process. Mathematically, such problems are often reduced to the evaluation of the probability density of the time for such a process to cross a…
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in the context of option pricing and…
We consider a Brownian particle diffusing in a one dimensional interval with absorbing end points. We study the ramifications when such motion is interrupted and restarted from the same initial configuration. We provide a comprehensive…
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…
The first passage is a generic concept for quantifying when a random quantity such as the position of a diffusing molecule or the value of a stock crosses a preset threshold (target) for the first time. The last decade saw an enlightening…
Current is a characteristic feature of nonequilibrium systems. In stochastic systems, these currents exhibit fluctuations constrained by the rate of dissipation in accordance with the recently discovered thermodynamic uncertainty relation.…
To describe the nonequilibrium states of a system we introduce a new thermodynamic parameter - the lifetime (the first passage time) of a system. The statistical distributions that can be obtained out of the mesoscopic description…
First passage time plays a fundamental role in dynamical characterization of stochastic processes. Crucially, our current understanding on the problem is almost entirely relies on the theoretical formulations, which assume the processes…
The Heston stochastic volatility model is a standard model for valuing financial derivatives, since it can be calibrated using semi-analytical formulas and captures the most basic structure of the market for financial derivatives with…
The ``first passage-time'' (FPT) problem is an important problem with a wide range of applications in mathematics, physics, biology and finance. Mathematically, such a problem can be reduced to estimating the probability of a (stochastic)…
We determine the survival probability and first-passage time (FPT) to capture for a harmonically trapped particle, diffusing outside an absorbing spherical boundary by directly solving the differential equation for the survival probability.…
We present a number of related comparison results, which allow to compare moment explosion times, moment generating functions and critical moments between rough and non-rough Heston models of stochastic volatility. All results are based on…
We propose a unifying theoretical framework for the analysis of first-passage time distributions in two important classes of stochastic processes in which the diffusivity of a particle evolves randomly in time. In the first class of…
The first passage time for a single diffusing particle has been studied extensively, but the first passage time of a system of many diffusing particles, as is often the case in physical systems, has received little attention until recently.…
We present an alternative approach to the forecasting of motor vehicle collision rates. We adopt an oft-used tool in mathematical finance, the Heston Stochastic Volatility model, to forecast the short-term and long-term evolution of motor…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
We introduce and investigate the escape problem for random walkers that may eventually die, decay, bleach, or lose activity during their diffusion towards an escape or reactive region on the boundary of a confining domain. In the case of a…
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for…
Results of analytic and numerical investigations of first-passage properties of equilibrium fluctuations of monatomic steps on a vicinal surface are reviewed. Both temporal and spatial persistence and survival probabilities, as well as the…
Resetting or restart, when applied to a stochastic process, usually brings its dynamics to a time-independent stationary state. In turn, the optimal resetting rate makes the mean time to reach a target to be the shortest one. These and…