Related papers: Hitting times of Bessel processes

Let $W(t), t\ge 0$ be standard Brownian motion. We study the size of the time intervals $I$ which are admissible for the long range of slow increase, namely given a real $z>0$, $$ \sup_{t\in I}{|W(t)|\over \sqrt t} \le z, $$ and we estimate…

Given a Brownian path $\beta(t)$ on $\mathbb{R}$, starting at $1$, a.s. there is a singular time set $T_{\beta}$, such that the first hitting time of $\beta$ by an independent Brownian motion, starting at $0$, is in $T_{\beta}$ with…

We obtain explicit solutions for the density $\varphi_T$ of the first-time $T$ that a one-dimensional Brownian process $B$ reaches the twice, continuously differentiable moving boundary $f$ and such that $f''(t)\geq 0$ for all $t\in…

For one-dimensional symmetric L\'{e}vy processes, which hit every point with positive probability, we give sharp bounds for the tail function of the first hitting time of B which is either a single point or an interval. The estimates are…

We consider a system of asymmetric independent random walks on $\mathbb{Z}^d$, denoted by $\{\eta_t,t\in{\mathbb{R}}\}$, stationary under the product Poisson measure $\nu_{\rho}$ of marginal density $\rho>0$. We fix a pattern $\mathcal{A}$,…

We obtain the uniform convergence rate for the Gaussian fluctuation of the radial part of the Brownian motion on a hyperbolic space. We also show that this result is sharp if the dimension of the hyperbolic space is two or general odd. Our…

In this work we relate the density of the first-passage time of a Wiener process to a moving boundary with the three dimensional Bessel bridge process and a solution of the heat equation with a moving boundary. We provide bounds.

For a hyperbolic Brownian motion on the Poincar\'e half-plane $\mathbb{H}^2$, starting from a point of hyperbolic coordinates $z=(\eta, \alpha)$ inside a hyperbolic disc $U$ of radius $\bar{\eta}$, we obtain the probability of hitting the…

The first passage time density of a diffusion process to a time varying threshold is of primary interest in different fields. Here we consider a Brownian motion in presence of an exponentially decaying threshold to model the neuronal…

The probability density is a fundamental quantity for characterizing diffusion processes. However, it is seldom known except in a few renowned cases, including Brownian motion and the Ornstein-Uhlenbeck process and their bridges, geometric…

We study the problem of non-parametric Bayesian estimation of the intensity function of a Poisson point process. The observations are $n$ independent realisations of a Poisson point process on the interval $[0,T]$. We propose two related…

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…

We consider the path approximation of Bessel processes and develop a new and efficient algorithm. This study is based on a recent work by the authors, on the path approximation of the Brownian motion, and on the construction of specific own…

We investigate the average time for the earliest particle to hit a spherical absorber when a homogeneous gas of freely diffusing particles with density $\rho$ and diffusivity $D$ is prepared in a deterministic state and is initially…

The joint distribution of maximum increase and decrease for Brownian motion up to an independent exponential time is computed. This is achieved by decomposing the Brownian path at the hitting times of the infimum and the supremum before the…

We prove a central limit theorem for the momentum distribution of a particle undergoing an unbiased spatially periodic random forcing at exponentially distributed times without friction. The start is a linear Boltzmann equation for the…

We develop nonparametric Bayesian modelling approaches for Poisson processes, using weighted combinations of structured beta densities to represent the point process intensity function. For a regular spatial domain, such as the unit square,…

We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…

We study experimentally and theoretically the optimal mean time needed by a free diffusing Brownian particle to reach a target at a distance L from an initial position in the presence of resetting. Both the initial position and the…

We investigate the mean first passage time of an active Brownian particle in one dimension using numerical simulations. The activity in one dimension is modeled as a two state model; the particle moves with a constant propulsion strength…