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We derive bridges from general multidimensional linear non time-homogeneous processes using only the transition densities of the original process giving their integral representations (in terms of a standard Wiener process) and so-called…
The current study is a pioneering work in presenting the boundary layer equations for the two-dimensional flow and heat transfer of the Cross fluid over a linearly stretching sheet. The system of partial differential equations is turned…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by…
In this paper, we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. Namely, we show that, under broad assumptions, the first…
We investigate a moving boundary problem for a Brownian particle on the semi-infinite line in which the boundary moves by a distance proportional to the time between successive collisions of the particle and the boundary. Phenomenologically…
We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for…
The inverse first-passage time problem determines a boundary such that the first-passage time of a Wiener process to this boundary has a given distribution. An approximation which is based on the starting value of the boundary to a smooth…
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary $t\mapsto a+bt,\ a\geq 0,\,b\in \R,$ by a reflecting Brownian motion. The main tool hereby is Doob's formula which gives the probability…
We study an initial-boundary-value problem for time-dependent flows of heat-conducting viscous incompressible fluids in a system of three-dimensional pipes on a time interval $(0,T)$. Here we are motivated by the bounded domain approach…
A semi-explicit formula of solution to the boundary layer system for thermal layer derived from the compressible Navier-Stokes equations with the non-slip boundary condition when the viscosity coefficients vanish is given, in particular in…
The survival probability and the first-passage-time statistics are important quantities in different fields. The Wiener process is the simplest stochastic processwith continuous variables, and important results can be explicitly found from…
Path transformations are fundamental to the study of Brownian motion and related stochastic processes, offering elegant constructions of the Brownian bridge, meander, and excursion. Central to this theory is the well-established link…
The first passage time problem for Brownian motions hitting a barrier has been extensively studied in the literature. In particular, many incarnations of integral equations which link the density of the hitting time to the equation for the…
In this article we prove the existence of Bernstein processes which we associate in a natural way with a class of linear parabolic initial-and final boundary value problems defined in bounded convex subsets of Euclidean space of arbitrary…
We show that simple explicit formulas can be obtained for several relevant quantities related to the laws of the uniformly sampled Brownian bridge, Brownian meander and three dimensional Bessel process. To prove such results, we use the…
In one-dimensional systems, the dynamics of a Brownian particle are governed by the force derived from a potential as well as by diffusion properties. In this work, we obtain the first-passage-time statistics of a Brownian particle driven…
We review and study a one-parameter family of functional transformations, denoted by $(S^{(\beta)})_{\beta\in \R}$, which, in the case $\beta<0$, provides a path realization of bridges associated to the family of diffusion processes…
This paper concerns the first passage times of Bessel processes to a point on the positive real line. We are interested in the case when the process starts at a position on its right and compute the densities of the distributions of the…
For a one-dimensional Wiener process with stochastic resetting ${\cal X}(t)$, obtained from an underlying Wiener process $X(t),$ we study the statistical properties of its first-passage time through zero, when starting from $x>0,$ and its…