Related papers: Exit problems for oscillating compound Poisson pro…
Within the framework of variational modelling we derive a one-phase moving boundary problem describing the motion of a semipermeable membrane enclosing a viscous liquid, driven by osmotic pressure and surface tension of the membrane. For…
Let be $X(t)= x - \mu t + \sigma B_t - N_t$ a L$\acute{\text{e}}$vy process starting from $x >0,$ where $ \mu \ge 0, \ \sigma \ge 0, \ B_t$ is a standard BM, and $N_t$ is a homogeneous Poisson process with intensity $ \theta >0,$ starting…
We study exit times from a set for a family of multivariate autoregressive processes with normally distributed noise. By using the large deviation principle, and other methods, we show that the asymptotic behavior of the exit time depends…
The first-passage time is proposed as an independent thermodynamic parameter of the statistical distribution that generalizes the Gibbs distribution. The theory does not include the determination of the first passage statistics itself. A…
The narrow escape problem is a first-passage problem concerned with randomly moving particles in a physical domain, being trapped by absorbing surface traps (windows), such that the measure of traps is small compared to the domain size. The…
We consider a class of exit--time control problems for nonlinear systems with a nonnegative vanishing Lagrangian. In general, the associated PDE may have multiple solutions, and known regularity and stability properties do not hold. In this…
Limit theorems are presented for the rescaled occupation time fluctuation process of a critical finite variance branching particle system in $\mathbb{R}^{d}$ with symmetric $\alpha$-stable motion starting off from either a standard Poisson…
We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when…
The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder'' when the observed process changes its probability characteristics. We give a partial answer to this question for…
In this paper we consider an equilibrium last-passage percolation model on an environment given by a compound two-dimensional Poisson process. We prove an $\LL^2$-formula relating the initial measure with the last-passage percolation time.…
We study the asymptotic behavior of empirical processes generated by measurable bounded functions of an infinite source Poisson transmission process when the session length have infinite variance. In spite of the boundedness of the…
We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…
This paper deals with the homogenization of a mixed boundary value problem for the Laplace operator in a domain with locally periodic oscillating boundary. The Neumann condition is prescribed on the oscillating part of the boundary, and the…
We consider the exit problem for a one-dimensional system with random switching near an unstable equilibrium point of the averaged drift. In the infinite switching rate limit, we show that the exit time satisfies a limit theorem with a…
We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major…
We study the weighted heat trace asymptotics of an operator of Laplace type with mixed boundary conditions where the weight function exhibits radial blowup. We give formulas for the first three boundary terms in the expansion in terms of…
Finite excursions away from zero of a spectrally positive compound Poisson process with a negative drift can always be decomposed into two parts lying above and below zero, respectively. This paper is concerned with the asymptotic…
We study a class of two-sided optimal control problems of general linear diffusions under a so-called Poisson constraint: the controlling is only allowed at the arrival times of an independent Poisson signal processes. We give a weak and…
For stationary sequences, under general local and asymptotic dependence restrictions, any limiting point process for time normalized upcrossings of high levels is a compound Poisson process, i.e., there is a clustering of high upcrossings,…
A variational formula for the asymptotic variance of general Markov processes is obtained. As application, we get a upper bound of the mean exit time of reversible Markov processes, and some comparison theorems between the reversible and…