Related papers: Hitting times of Bessel processes

Let \{B_t^H,t\geq0\} be a d-dimensional fractional Brownian motion. We prove that the approximation of the first-order derivative of self-intersection local time, defined as…

We address the problem of minimizing the expected first-passage time of a Brownian motion with Poissonian resetting, with respect to the resetting rate $r.$ We consider both the one-boundary and the two-boundary cases.We investigate the…

We construct a model of Brownian Motion on a pseudo-Riemannian manifold associated with general relativity. There are two aspects of the problem: The first is to define a sequence of stopping times associated with the Brownian "kicks" or…

In this article, we obtain properties of the law associated to the first hitting time of a threshold by a one-dimensional uniformly elliptic diffusion process and to the associated process stopped at the threshold. Our methodology relies on…

We study the random acceleration model, which is perhaps one of the simplest, yet nontrivial, non-Markov stochastic processes, and is key to many applications. For this non-Markov process, we present exact analytical results for the…

Let be $(X_t, t\geq 0)$ be a L\'evy process which is the sum of a Brownian motion with drift and a compound Poisson process. We consider the first passage time $\tau_x$ at a fixed level $x>0$ by $(X_t, t\geq 0)$ and $K_x:= X_{\tau_x}-x$ the…

We investigate the first-passage properties and extreme-value statistics of an overdamped Brownian particle confined by an external linear potential $V(x)=\mu |x-x_0|$, where $\mu>0$ is the strength of the potential and $x_0>0$ is the…

Exact analytical solutions of the time-dependent Schr\"odinger equation with the initial condition of an incident cutoff wave are used to investigate the traversal time for tunneling. The probability density starts from a vanishing value…

We study the first hitting time statistics between a one-dimensional run-and-tumble particle and a target site that switches intermittently between visible and invisible phases. The two-state dynamics of the target is independent of the…

We study the statistics of near-extreme events of Brownian motion (BM) on the time interval [0,t]. We focus on the density of states (DOS) near the maximum \rho(r,t) which is the amount of time spent by the process at a distance r from the…

We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownian motion are discussed.

We study branching Brownian motion in hyperbolic space. As hyperbolic Brownian motion is transient, the normalised empirical measure of branching Brownian motion converges to a random measure $\mu_\infty$ on the boundary. We show that the…

A common scenario in a variety of biological systems is that multiple particles are searching in parallel for an immobile target located in a bounded domain, and the fastest among them that arrives to the target first triggers a given…

We investigate a diffusive motion of a system of interacting Brownian particles in quasi-one-dimensional micropores. In particular, we consider a semi-infinite 1D geometry with a partially absorbing boundary and the hard-core inter-particle…

For the supercritical contact process on the hyper-cubic lattice started from a single infection at the origin and conditioned on survival, we establish two uniformity results for the hitting times $t(x)$, defined for each site $x$ as the…

Let $\{B_{t}\}_{t\geq0}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $0<H<1$, where $d\geq2$. Consider the approximation of the self-intersection local time of $B$, defined as \begin{align*} I_{T}^{\varepsilon}…

Let $n$ particles move in standard Brownian motion in one dimension, with the process terminating if two particles collide. This is a specific case of Brownian motion constrained to stay inside a Weyl chamber; the Weyl group for this…

A multiplicative identity in law connecting the hitting times of completely asymmetric $\alpha-$stable L\'evy processes in duality is established. In the spectrally positive case, this identity allows with an elementary argument to compute…

In the random acceleration process a point particle moving in one dimension is accelerated by Gaussian white noise with zero mean. Although several fundamental statistical properties of the motion have been analyzed in detail, the…

In this paper we consider a (reflected) Brownian motion with broken drift hitting a random boundary. Some dedicated calculations allow us to obtain the formula on the joint Laplace transform of the hitting time and hitting position. These…