Related papers: First-passage and escape problems in the Feller pr…
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…
Escape from a potential well is an extreme example of transient behavior. We consider the escape of the harmonically forced particle under viscous damping from the benchmark truncated weakly nonlinear potential well. Main attention is paid…
Fish migration is a collective phenomenon that has multiple timescales, ranging from daily to intraday (hourly or even finer). We propose a unified mathematical approach using diffusion bridges, nonlinear stochastic differential equations…
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…
We characterize various forms of positive dependence, such as association, positive supermodular association and dependence, and positive orthant dependence, for jump-Feller processes. Such jump processes can be studied through their…
First Passage (FP) processes are utilized widely to model phenomena in many areas of mathematical applications, from biology to computer science. Introducing a mechanism to restart the parent process can alter the first passage…
We propose a generalized diffusion equation for a flat Euclidean space subjected to a continuous infinitesimal scale transform. For the special cases of an algebraic or exponential expansion/contraction, governed by time-dependent scale…
The study of discrete-time stochastic processes on the half-line with mean drift at $x$ given by $\mu_1 (x) \to 0$ as $x \to \infty$ is known as Lamperti's problem. We give sharp almost-sure bounds for processes of this type in the case…
In this paper, we investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to the SDEs corresponding to the hybrid system. Then, we derive the strong Feller property and…
In this paper, as a main result, we derive a Chung-Fuchs type condition for the recurrence of Feller processes associated with pseudo-differential operators. In the L\'evy process case, this condition reduces to the classical and well-known…
Our paper illustrates how the theory of Lie systems allows recovering known results and provide new examples of piecewise deterministic processes with phase-type jumps for which the corresponding first-time passage problems may be solved…
In the scenario of the narrow escape problem (NEP) a particle diffuses in a finite container and eventually leaves it through a small "escape window" in the otherwise impermeable boundary, once it arrives to this window and over-passes an…
The paper addresses the single-file diffusion in the presence of an absorbing boundary. The emphasis is on an interplay between the hard-core interparticle interaction and the absorption process. The resulting dynamics exhibits several…
A conservative Feller evolution on continuous bounded functions is constructed from a weakly continuous, time-inhomogeneous transition function describing a pure jump process on a locally compact Polish space. The transition function is…
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…
In this note we prove the strong Feller property of a strong Markov quasi diffusion process corresponding to an elliptic operator with merely bounded measurable coefficients. We also prove H\"older continuity of harmonic functions…
A stable-like process is a Feller process $(X_t)_{t\geq 0}$ taking values in $\mathbb{R}^d$ and whose generator behaves, locally, like an $\alpha$-stable L\'evy process, but the index $\alpha$ and all other characteristics may depend on the…
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 review some representative results for first-passage problems involving so-called mortal or evanescent walkers, i.e., walkers with a finite lifetime. The mortality constraint plays a key role in the modeling of many real scenarios, as it…
We determine the asymptotic speed of the first-passage percolation process on some ladder-like graphs (or width-2 stretches) when the times associated with different edges are independent and exponentially distributed but not necessarily…