Related papers: On the first time that an Ito process hits a barri…
The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following…
We prove that for a standard Brownian motion, there exists a first-passage-time density function through a locally H\"older continuous curve with exponent greater than 1/2. By using a property of local time of a standard Brownian motion and…
We study the one-dimensional Burgers equation in the inviscid limit for Brownian initial velocity (i.e. the initial velocity is a two-sided Brownian motion that starts from the origin x=0). We obtain the one-point distribution of the…
We consider the asymmetric simple exclusion process in $d\ge 3$ with open boundaries. The particle reservoirs of constant densities are modeled by birth and death processes at the boundary. We prove that, if the initial density and the…
In this paper, we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. Namely, we show that, under broad assumptions, the first…
We consider Brox's model: a one-dimensional diffusion in a Brownian potential W. We show that the normalized local time process (L(t;m_(log t) + x)=t; x \in R), where m_(log t) is the bottom of the deepest valley reached by the process…
Given a two-dimensional correlated diffusion process, we determine the joint density of the first passage times of the process to some constant boundaries. This quantity depends on the joint density of the first passage time of the first…
Barrier crossing is a widespread phenomenon across natural and engineering systems. While an abundant cross-disciplinary literature on the topic has emerged over the years, the stochastic underpinnings of the process are yet to be linked…
When a gas of particles interacts with much a larger reservoir the density dynamics on large scales is typically governed by diffusion. We study this paradigmatic problem for weakly coupled integrable systems and show that this picture gets…
We consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit…
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…
In this note we investigate the behaviour of Brownian motion conditioned on a growth constraint of its local time which has been previously investigated by Berestycki and Benjamini. For a class of non-decreasing positive functions $f(t);…
We analyze the unforced and deterministically forced Burgers equation in the framework of the (diffusive) interpolating dynamics that solves the so-called Schr\"{o}dinger boundary data problem for the random matter transport. This entails…
When a Brownian motion is scaled according to the law of the iterated logarithm, its supremum converges to one as time tends to zero. Upper large deviations of the supremum process can be quantified by writing the problem in terms of…
We consider the first hitting times of the Bessel processes. We give explicit expressions for the distribution functions and for the densities by means of the zeros of the Bessel functions. The results extend the classical ones and cover…
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional…
We construct a stochastic process whose drift is a function of the process's local time at a reflecting barrier. The process arose as a model of the interactions of a Brownian particle and an inert particle in (Knight, 2001). Interesting…
We study a class of R^d-valued continuous strong Markov processes that are generated, only locally, by an ultra-parabolic operator with coefficients that are regular w.r.t. the intrinsic geometry induced by the operator itself and not…
We study an inverse first-passage-time problem for Wiener process $X(t)$ subject to hold and jump from a boundary $c.$ Let be given a threshold $S>X(0) \ge c,$ and a distribution function $F$ on $[0, + \infty ).$ The problem consists in…
In this paper, we develop a Monte Carlo based algorithm for estimating the FPT density of a time-homogeneous SDE through a time-dependent frontier. We consider Brownian bridges as well as localized Daniels curve approximations to obtain…