Related papers: Exit problems for oscillating compound Poisson pro…
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…
Stochastic treatments of magnetic resonance spectroscopy and optical spectroscopy require evaluations of functions like <exp(i int_0^t Q(s)ds)>, where t is time, Q(s) is the value of a stochastic process at time s, and the angular brackets…
A general theory is derived for the moments of the first passage time of a one-dimensional Markov process in presence of a weak time-dependent forcing. The linear corrections to the moments can be expressed by quadratures of the potential…
We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…
Thermally activated escape over a potential barrier in the presence of periodic driving is considered. By means of novel time-dependent path-integral methods we derive asymptotically exact weak-noise expressions for both the instantaneous…
A theoretical mechanism of laminar-turbulent transition originated from the deceleration of fluid streams on the walls of the channel or pipe is proposed. For Poiseuille flow an analytical expression relating the critical Reynolds number…
The problem of noise-induced escape from a metastable state arises in physics, chemistry, biology, systems engineering, and other areas. The problem is well understood when the underlying dynamics of the system obey detailed balance. When…
In this paper, we solve exit problems for a L\'evy process that resets proportionally to its current position at independent Poisson epochs times. This resetting causes an additional (proportional to its current level) downward (upward)…
How long a stochastic process survives before leaving a domain depends not only on its intrinsic dynamics but also on how it is observed. Classical first-passage theory assumes continuous monitoring with absorbing boundaries…
We obtain an exact formula for the first-passage time probability distribution for random walks on complex networks using inverse Laplace transform. We write the formula as the summation of finitely many terms with different frequencies…
We study rate-distortion problems of a Poisson process using a group theoretic approach. By describing a realization of a Poisson point process with either point timings or inter-event (inter-point) intervals and by choosing appropriate…
We consider a dynamical system described by the differential equation $\dot{Y}_t=-U'(Y_t)$ with a unique stable point at the origin. We perturb the system by the L\'evy noise of intensity $\varepsilon$ to obtain the stochastic differential…
The initial-value problem for the drift-diffusion equation arising from the model of semiconductor device simulations is studied. The dissipation on this equation is given by the fractional Laplacian. When the exponent of the fractional…
The unsteady motion of a two-layer fluid induced by oscillatory motion of a flat plate along its length is mathematically analyzed. Two cases are considered: (i) the two-layer fluid is bounded only by the oscillating plate (Stokes' second…
Let $\{\xi(k), k \in \mathbb{Z} \}$ be a stationary sequence of random variables and let $\{S_n, n \in \mathbb{N}_+ \}$ be a transient random walk in the domain of attraction of a stable law. In the previous work \cite{Nicolas_Ahmad}, under…
We give a method for computing the iterated Laplace transform of the sojourn time in an union of intervals for linear diffusion processes. This random variable comes from a model occurring in biology concerning the clustering of membrane…
This paper deals with the union set of a stationary Poisson process of cylinders in $\mathbb{R}^n$ having an $(n-m)$-dimensional base and an $m$-dimensional direction space, where $m\in\{0,1,\ldots,n-1\}$ and $n\geq 2$. The concept…
We present Oseen equations on Lipschitz domains in a port-Hamiltonian context. Such equations arise, for instance, by linearization of the Navier-Stokes equations. In our setup, the external port consists of the boundary traces of velocity…
We investigate the instabilities and bifurcations of traveling pulses in a model excitable medium; in particular we discuss three different scenarios for the loss of stability resp. the disappearance of stable pulses. In numerical…
We consider the problem of determining escape probabilities from an interval of a general compound renewal process with drift. This problem is reduced to the solution of a certain integral equation. In an actuarial situation where only…