Related papers: First-passage and risk evaluation under stochastic…
We prove non-universality results for first-passage percolation on the configuration model with i.i.d. degrees having infinite variance. We focus on the weight of the optimal path between two uniform vertices. Depending on the properties of…
When the memory parameter of the elephant random walk is above a critical threshold, the process becomes superdiffusive and, once suitably normalised, converges to a non-Gaussian random variable. In a recent paper by the three first…
We consider the problem of bounding mean first passage times for a class of continuous-time Markov chains that captures stochastic interactions between groups of identical agents. The quantitative analysis of such probabilistic population…
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order…
Extreme value functionals of stochastic processes are inverse functionals of the first passage time -- a connection that renders their probability distribution functions equivalent. Here, we deepen this link and establish a framework for…
First passage percolation on $\mathbb{Z}^2$ is a model for describing the spread of an infection on the sites of the square lattice. The infection is spread via nearest neighbor sites and the time dynamic is specified by random passage…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have very rough sample paths. The main results obtained in…
Non-equilibrium fluctuations of various stochastic variables, such as work and entropy production, have been widely discussed recently in the context of large deviations, cumulants and fluctuation relations. Typically, one looks at the…
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…
The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine the numerical solution of this problem in the case of a two…
Recent large deviation results have provided general lower bounds for the fluctuations of time-integrated currents in the steady state of stochastic systems. A corollary are so-called thermodynamic uncertainty relations connecting precision…
For rotationally invariant first passage percolation (FPP) on the plane, we use a multi-scale argument to prove stretched exponential concentration of the first passage times at the scale of the standard deviation. Our results are proved…
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…
The first-passage time (FPT), i.e., the moment when a stochastic process reaches a given threshold value for the first time, is a fundamental mathematical concept with immediate applications. In particular, it quantifies the statistics of…
We consider a one-dimensional fluctuating interfacial profile governed by the Edwards-Wilkinson or the stochastic Mullins-Herring equation for periodic, standard Dirichlet and Dirichlet no-flux boundary conditions. The minimum action path…
We investigate the work fluctuations in an overdamped non-equilibrium process that is stopped at a stochastic time. The latter is characterized by a first passage event that marks the completion of the non-equilibrium process. In…
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent…
We study the first-passage properties of a random walk in the unit interval in which the length of a single step is uniformly distributed over the finite range [-a,a]. For a of the order of one, the exit probabilities to each edge of the…
We study a Brownian particle diffusing under a time-modulated stochastic resetting mechanism to a fixed position. The rate of resetting r(t) is a function of the time t since the last reset event. We derive a sufficient condition on r(t)…