Related papers: Gumbel distribution in exit problems
Count data are omnipresent in many applied fields, often with overdispersion due to an excess of zeroes or extreme values. With mixtures of Poisson distributions representing an elegant and appealing modelling strategy, we focus here on the…
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…
Using martingale theory, we compute, in very few lines, exact analytical expressions for various first-exit-time statistics associated with one-dimensional biased diffusion. Examples include the distribution for the first-exit time from an…
Turbulence locally created in laminar pipe flows shows sudden decay or splitting after a stochastic waiting time. In laboratory experiments, the mean waiting time was observed to increase double-exponentially as the Reynolds number (Re)…
We report some additional examples of explicit solutions to an inverse first-passage place problem for one-dimensional diffusions with jumps, introduced in a previous paper. If $X(t)$ is a one-dimensional diffusion with jumps, starting from…
We obtain error terms on the rate of convergence to Extreme Value Laws for a general class of weakly dependent stochastic processes. The dependence of the error terms on the `time' and `length' scales is very explicit. Specialising to data…
We study the existence theory for parabolic variational inequalities in weighted $L^2$ spaces with respect to excessive measures associated with a transition semigroup. We characterize the value function of optimal stopping problems for…
In this paper, we consider the finite time blow-up results for a parabolic equation coupled with superlinear source term and local linear boundary dissipation. Using a concavity argument, we derive the sufficient conditions for the…
The extremal Fourier intensities are studied for stationary Edwards-Wilkinson-type, Gaussian, interfaces with power-law dispersion. We calculate the probability distribution of the maximal intensity and find that, generically, it does not…
We study the gambler's ruin problem for the Elephant Random Walk, focusing on escape time from a symmetric interval of the form $\{-N, \ldots, N\}$. As our main result, we derive tight exponential bounds for the tail of this escape time. We…
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 consider a continuous-time random walk on a regular tree of finite depth and study its favorite points among the leaf vertices. For the walk started from a leaf vertex and stopped upon hitting the root we prove that, in the limit as as…
In this paper, we considier the limiting distribution of the maximum interpoint Euclidean distance $M_n=\max _{1 \leq i<j \leq n}\left\|\boldsymbol{X}_i-\boldsymbol{X}_j\right\|$, where $\boldsymbol{X}_1, \boldsymbol{X}_2, \ldots,…
We consider a random $N$-step polymer under the influence of an attractive interaction with the origin and derive a limit law -- after suitable shifting and norming -- for the length of the longest excursion towards the Gumbel distribution.…
The relation between the expectation values computed in the random walk theory, and the heat kernel method for the diffusion equation is explained concretely. The random walk is also realized by simulations and their statistical…
Singular limit problems of reaction-diffusion systems have been studied in cases where the effects of the reaction terms are very large compared with those of the other terms. Such problems appear in literature in various fields such as…
We evaluate the limit distribution of the maximal excursion of a random walk in any dimension for homogeneous environments and for self-similar supports under the assumption of spherical symmetry. This distribution is obtained in closed…
We study the statistical distribution of the closest encounter between observations computed along different trajectories of a mixing dynamical system. At the limit of large trajectories, the distribution is of Gumbel type and depends on…
The Tracy-Widom distribution that has been much studied in recent years can be thought of as an extreme value distribution. We discuss interpolation between the classical extreme value distribution $\exp(-\exp(-x))$, the Gumbel distribution…
The distribution of exit times is computed for a Brownian particle in spherically symmetric two- dimensional domains (disks, angular sectors, annuli) and in rectangles that contain an exit on their boundary. The governing partial…