Related papers: Exit problems for oscillating compound Poisson pro…
A model of the oscillatory component of interaction of inner boundaries is studied; and the features of generation of the composite structure in interim asymptotics are considered. A model of a multiscale net of inner boundaries was used to…
The exit problem for small perturbations of a dynamical system in a domain is considered. It is assumed that the unperturbed dynamical system and the domain satisfy the Levinson conditions. We assume that the random perturbation affects the…
We investigate the first-passage properties of a jump process with a constant drift, focusing on two key observables: the first-passage time $\tau$ and the number of jumps $n$ before the first-passage event. By mapping the problem onto an…
We study the exit time from a bounded multi-dimensional domain $\Omega$ of the stochastic process $\mathbf{Y}_\varepsilon=\mathbf{Y}_\varepsilon(t,a)$, $t\geqslant 0$, $a\in \mathcal{A}$, governed by the overdamped Langevin dynamics…
We study boundary integral formulations for an interior/exterior initial boundary value problem arising from the thermo-elasto-dynamic equations in a homogeneous and isotropic domain. The time dependence is handled, based on Lubich's…
Lagrangian motions of fluid particles in a general velocity field oscillating in time are studied with the use of the two-timing method. Our aims are: (i) to calculate systematically the most general and practically usable asymptotic…
Applying boundary functionals of random risk processes to various physical problems makes it possible to determine many important characteristics of these problems. For example, a special case of boundary functionals is the time to first…
The present work deals with the resolution of the Poisson equation in a bounded domain made of a thin and periodic layer of finite length placed into a homogeneous medium. We provide and justify a high order asymptotic expansion which takes…
Consider compound Poisson processes with negative drift and no negative jumps, which converge to some spectrally positive L\'evy process with non-zero L\'evy measure. In this paper we study the asymptotic behavior of the local time process,…
An initial-value problem for arbitrary small 3D vorticity perturbations imposed on a free shear flow is considered. The viscous perturbation equations are then combined in terms of the vorticity and velocity, and are solved by means of a…
The Poisson process is the most elementary continuous-time stochastic process that models a stream of repeating events. It is uniquely characterised by a single parameter called the rate. Instead of a single value for this rate, we here…
We consider stochastic processes arising from dynamical systems simply by evaluating an observable function along the orbits of the system and study marked point processes associated to extremal observations of such time series…
We study the first passage time (FPT) problem for biased continuous time random walks. Using the recently formulated framework of fractional Fokker-Planck equations, we obtain the Laplace transform of the FPT density function when the bias…
Numerical solution of the Poisson equation in metallic enclosures, open at one or more ends, is important in many practical situations such as High Power Microwave (HPM) or photo-cathode devices. It requires imposition of a suitable…
The narrow escape problem consists of deriving the asymptotic expansion of the solution of a drift-diffusion equation with the Dirichlet boundary condition on a small absorbing part of the boundary and the Neumann boundary condition on the…
Efficient computation of trajectories of switched affine systems becomes possible, if for any such hybrid system, we can manage to efficiently compute the sequence of switching times. Once the switching times have been computed, we can…
In this paper, we derive explicit formulas for the surface averaged first exit time of a discrete random walk on a finite lattice. We consider a wide class of random walks and lattices, including random walks in a non-trivial potential…
The Poisson boundary of a group G with a probability measure \mu is the space of ergodic components of the time shift in the path space of the associated random walk. Via a generalization of the classical Poisson formula it gives an…
We study the dynamics of a chain of coupled particles subjected to a restoring force (Klein-Gordon lattice) in the cases of either periodic or Dirichlet boundary conditions. Precisely, we prove that, when the initial data are of small…
We consider a run-and-tumble particle on a half-line with an absorbing target at the origin. The particle has an internal velocity state that switches between two opposite values at Poisson-distributed times. The position of the particle…