Related papers: On Schr\"odinger's equation, 3-dimensional Bessel …
Motivated by an approximation problem from mathematical finance, we analyse the stability of the boundary crossing probability for the multivariate Brownian motion process, with respect to small changes of the boundary. Under broad…
The general, multidimensional barrier crossing problem for diffusive processes under the action of conservative forces is studied with the goal of developing tractable approximations. Particular attention is given to the effect of different…
We prove that the first passage time density $\rho(t)$ for an Ornstein-Uhlenbeck process $X(t)$ obeying $dX=-\beta X dt + \sigma dW$ to reach a fixed threshold $\theta$ from a suprathreshold initial condition $x_0>\theta>0$ has a lower…
Let $T_1^{(\mu)}$ be the first hitting time of the point 1 by the Bessel process with index $\mu\in \R$ starting from $x>1$. Using an integral formula for the density $q_x^{(\mu)}(t)$ of $T_1^{(\mu)}$, obtained in Byczkowski, Ryznar (Studia…
We study the modeling of a compressible two-phase flow in a porous medium. The governing free boundary problem is known as the Verigin problem with phase transition. We introduce a novel variational framework to construct weak solutions.…
We consider a general one-dimensional overdamped diffusion model described by the It\^{o} stochastic differential equation (SDE) ${dX_t=\mu(X_t,t)dt+\sigma(X_t,t)dW_t}$, where $W_t$ is the standard Wiener process. We obtain a specific…
For a Brownian bridge from $0$ to $y$ we prove that the mean of the first exit time from interval $(-h,h), \,\, h>0,$ behaves as $O(h^2)$ when $h \downarrow 0.$ Similar behavior is seen to hold also for the 3-dimensional Bessel bridge. For…
The global existence of strong solution to the initial-boundary value problem of the three-dimensional compressible viscoelastic fluids near equilibrium is established in a bounded domain. Uniform estimates in $W^{1,q}$ with $q>3$ on the…
Let X be some homogeneous additive functional of a skew Bessel process Y. In this note, we compute the asymptotics of the first passage time of X to some fixed level b, and study the position of Y when X exits a bounded interval [a, b]. As…
We derive the macroscopic laws that govern the evolution of the density of particles in the exclusion process on the Sierpinski gasket in the presence of a variable speed boundary. We obtain, at the hydrodynamics level, the heat equation…
We investigate the spatial structure of dense square-shoulder fluids. To this end we derive analytical perturbative solutions of the Ornstein-Zernike equation in the low- and high-temperature limits as expansions around the known hard…
We consider a nonlinear, moving boundary, fluid-structure interaction problem between a time dependent incompressible, viscous fluid flow, and an elastic structure composed of a cylindrical shell supported by a mesh of elastic rods. The…
The Schr\"odinger integral-equation approach for calculating the classical first-passage time (C-fpt) probability density is extended to the case of quantum first-passage time (Q-fpt). Using this extension, we have calculated analytically…
We are concerned with the first hitting times of the Bessel processes. We give explicit expressions for the densities by means of the zeros of the Bessel functions and show their asymptotic behavior.
This paper is concerned with $3$-D stochastic Euler-Poisson equations with insulating boundary conditions forced by the Wiener process. We first establish the global existence and uniqueness of the solution to the system, then we prove that…
Let $X$ be a regular one-dimensional transient diffusion and $L^y$ be its local time at $y$. The stochastic differential equation (SDE) whose solution corresponds to the process $X$ conditioned on $[L^y_{\infty}=a]$ for a given $a\geq 0$ is…
We study the motion of the steady compressible heat conducting viscous fluid in a bounded three dimensional domain governed by the compressible Navier-Stokes-Fourier system. Our main result is the existence of a weak solution to these…
The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following…
We calculate crossing probabilities and one-sided last exit time densities for a class of moving barriers on an interval $[0,T]$ via Schwartz distributions. We derive crossing probabilities and first hitting time densities for another class…
In this paper we establish the local-in-time existence and uniqueness of strong solutions to the free boundary problem of the full compressible Navier-Stokes equations in three-dimensional space. The vanishing density and temperature…