Related papers: First-passage and escape problems in the Feller pr…
In his seminal work from the 1950s, William Feller classified all one-dimensional diffusions on $-\infty\leq a<b\leq \infty$ in terms of their ability to access the boundary (Feller's test for explosions) and to enter the interior from the…
Under natural assumptions, a Feller type diffusion approximation is derived for critical, irreducible multi-type continuous state and continuous time branching processes with immigration. Namely, it is proved that a sequence of…
Subdiffusion equation and molecule survival equation, both with Caputo fractional time derivatives with respect to another functions $g_1$ and $g_2$, respectively, are used to describe diffusion of a molecule that can disappear at any time…
The presented explanations are provided for the one--dimensional diffusion process with constant drift by using forward Fokker--Planck technique. We are interested in the outflow probability in a finite interval, i.e. first passage time…
As a first step in the first passage problem for passive tracer in stratified porous media, we consider the case of a two-dimensional system consisting of two layers with different convection velocities. Using a lattice generating function…
Consider the diffusion process defined by the forward equation $u_t(t, x) = \tfrac{1}{2}\{x u(t, x)\}_{xx} - \alpha \{x u(t, x)\}_{x}$ for $t, x \ge 0$ and $-\infty < \alpha < \infty$, with an initial condition $u(0, x) = \delta(x - x_0)$.…
Consider a non-explosive positive Feller process with no negative jumps. It is shown in this note that when infinity is an entrance boundary, in the sense that the entrance times of the process remain bounded when the initial value tends to…
In one and two dimensions, the first-passage time for a diffusing particle in the presence of a radial potential flow to hit a sphere, conditioned on actually hitting the sphere, is independent of the sign of the drift. Moreover, the…
The first passage time for a single diffusing particle has been studied extensively, but the first passage time of a system of many diffusing particles, as is often the case in physical systems, has received little attention until recently.…
This article is devoted to Feller's diffusion equation which arises naturally in probabilities and physics (e.g. wave turbulence theory). If discretized naively, this equation may represent serious numerical difficulties since the diffusion…
We propose a unifying theoretical framework for the analysis of first-passage time distributions in two important classes of stochastic processes in which the diffusivity of a particle evolves randomly in time. In the first class of…
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…
We have previously discussed the diffusion limited problem of the bounded one-dimensional multitrap system where no external fiel is included and pay special attention to the transmission of the diffusing particles through the system of…
The time to first crossing for the Poisson counting process with respect to a linear moving barrier with offset is a classic problem, although key results remain scattered across the literature and their equivalence is often unclear. Here…
We study the regularity of a diffusion on a simplex with singular drift and reflecting boundary condition which describes a finite system of particles on an interval with Coulomb interaction and reflection between nearest neighbors. As our…
Diffusion is a fundamental physical phenomenon with critical applications in fields such as metallurgy, cell biology, and population dynamics. While standard diffusion is well-understood, anomalous diffusion often requires complex non-local…
A rapidly increasing number of systems is identified in which the stochastic motion of tracer particles follows the Brownian law $\langle\mathbf{r}^2(t) \rangle\simeq Dt$ yet the distribution of particle displacements is strongly…
Gated first-passage processes, where completion depends on both hitting a target and satisfying additional constraints, are prevalent across various fields. Despite their significance, analytical solutions to basic problems remain unknown,…
First-passage properties are central to the kinetics of target-search processes. Theoretical approaches so far primarily focused on predicting first-passage statistics for a given process or model. In practice, however, one faces the…
The paper examines a class of first order linear hyperbolic systems, proposed as a generalization of the Goldstein-Kac model for velocity-jump processes and determined by a finite number of speeds and corresponding transition rates. It is…