Related papers: Asymptotic behaviour of first passage time distrib…

In this paper we introduce non-decreasing jump processes with independent and time non-homogeneous increments. Although they are not L\'evy processes, they somehow generalize subordinators in the sense that their Laplace exponents are…

Suppose that S is an asymptotically stable random walk with norming sequence c_{n} and that T_{x} is the time that S first enters (x,\inf), where x\ge 0. The asymptotic behaviour of P(T_0=n) has been described in a recent paper of Vatutin…

We study lower and upper bounds for the density of a diffusion process in ${\mathbb{R}}^n$ in a small (but not asymptotic) time, say $\delta$. We assume that the diffusion coefficients $\sigma_1,\ldots,\sigma_d$ may degenerate at the…

Let $\{D(s), s \geq 0\}$ be a non-decreasing L\'evy process. The first-hitting time process $\{E(t) t \geq 0\}$ (which is sometimes referred to as an inverse subordinator) defined by $E(t) = \inf \{s: D(s) > t \}$ is a process which has…

In this paper we study the domain of stable processes, stable-like processes and more general pseudo- and integro-differential operators which naturally arise both in analysis and as infinitesimal generators of L\'evy- and L\'evy-type…

We study the distribution of first-passage functionals ${\cal A}= \int_0^{t_f} x^n(t)\, dt$, where $x(t)$ is a Brownian motion (with or without drift) with diffusion constant $D$, starting at $x_0>0$, and $t_f$ is the first-passage time to…

A random composition of $n$ appears when the points of a random closed set $\widetilde{\mathcal{R}}\subset[0,1]$ are used to separate into blocks $n$ points sampled from the uniform distribution. We study the number of parts $K_n$ of this…

We consider the long-time behaviour of a branching random walk in random environment on the lattice $\Z^d$. The migration of particles proceeds according to simple random walk in continuous time, while the medium is given as a random…

The continuous time random walk model has been widely applied in various fields, including physics, biology, chemistry, finance, social phenomena, etc. In this work, we present an algorithm that utilizes a subordinate formula to generate…

In this paper we study some aspects of search for an immobile target by a swarm of N non-communicating, randomly moving searchers (numbered by the index k, k = 1, 2,..., N), which all start their random motion simultaneously at the same…

We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a L\'evy process. Under mild assumptions placing the driving L\'evy process in…

We develop an instanton approach to the non-equilibrium dynamics in one-dimensional random environments. The long time behavior is controlled by rare fluctuations of the disorder potential and, accordingly, by the tail of the distribution…

The Slicer Map is a one-dimensional non-chaotic dynamical system that shows sub-, super-, and normal diffusion as a function of its control parameter. In a recent paper [Salari et al., CHAOS 25, 073113 (2015)] it was found that the moments…

The time of the first occurrence of a threshold crossing event in a stochastic process, known as the first passage time, is of interest in many areas of sciences and engineering. Conventionally, there is an implicit assumption that the…

We consider the first exit time of a Shiryaev-Roberts diffusion with constant positive drift from the interval $[0,A]$ where $A>0$. We show that the moment generating function (Laplace transform) of a suitably standardized version of 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 consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The main contribution in this paper is a non-central moderate…

We introduce and investigate the escape problem for random walkers that may eventually die, decay, bleach, or lose activity during their diffusion towards an escape or reactive region on the boundary of a confining domain. In the case of a…

We provide a general method to analyze the asymptotic properties of a variety of estimators of continuous time diffusion processes when the data are not only discretely sampled in time but the time separating successive observations may…

We study the non-stationary Feller process with time varying coefficients. We obtain the exact probability distribution exemplified by its characteristic function and cumulants. In some particular cases we exactly invert the distribution…