Related papers: On the Time for Brownian Motion to Visit Every Poi…
We use the method of Laplace transformation to determine the dynamics of a wave packet that passes a barrier by tunneling. We investigate the transmitted wave packet and find that it can be resolved into a sequence of subsequent wave…
We show that any initial closed curve suitably close to a circle flows under length-constrained curve diffusion to a round circle in infinite time with exponential convergence. We provide an estimate on the total length of time for which…
For a birth-death process subject to catastrophes, defined on the state-space $S=\{r,r+1,r+2,...\}$, with $r$ a positive integer or zero, the first-visit time to a state $k\in S$ is considered and the Laplace transform of its probability…
Two-way relationships between transformations and quadratic forms on Wiener spaces are investigated with the help of change of variables formulas on Wiener spaces. Further the evaluation of Laplace transforms of quadratic forms via Riccati…
We consider a run-and-tumble particle on a half-line with an absorbing target at the origin. The particle has an internal velocity state that switches between two opposite values at Poisson-distributed times. The position of the particle…
For a given barrier $S$ and a one-dimensional jump-diffusion process $X(t),$ starting from $x<S,$ we study the probability distribution of the integral $A_S(x)= \int_0 ^ {\tau_S(x)}X(t) \ dt$ determined by $X(t)$ till its first-crossing…
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 consider a random walker on a ring, subjected to resetting at Poisson-distributed times to the initial position (the walker takes the shortest path along the ring to the initial position at resetting times). In the case of a Brownian…
We study the distribution of first passage time (FPT) in Levy type of anomalous diffusion. Using recently formulated fractional Fokker-Planck equation we obtain three results. (1) We derive an explicit expression for the FPT distribution in…
The first passage time density of a diffusion process to a time varying threshold is of primary interest in different fields. Here we consider a Brownian motion in presence of an exponentially decaying threshold to model the neuronal…
The study of creeping motion of viscoelastic fluid around a rotating rigid torus is investigated. The analysis of the problem is performed using a second-order viscoelastic model. The study is carried out in terms of the bipolar toroidal…
An equation describing subdiffusion with possible immobilization of particles is derived by means of the continuous time random walk model. The equation contains a fractional time derivative of Riemann--Liouville type which is a…
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…
The expected signature is an analogue of the Laplace transform for rough paths. Chevyrev and Lyons showed that, under certain moment conditions, the expected signature determines the laws of signatures. Lyons and Ni posed the question of…
We introduce a class of time dependent random fields on compact Riemannian monifolds. These are represented by time-changed Brownian motions. These processes are time-changed diffusion, or the stochastic solution to the equation involving…
We present a method for computing the likelihood of a mixed hitting-time model that specifies durations as the first time a latent L\'evy process crosses a heterogeneous threshold. This likelihood is not generally known in closed form, but…
We study the first passage time (FPT) problem for biased continuous time random walks. Using the recently formulated framework of fractional Fokker-Planck equations, we obtain the Laplace transform of the FPT density function when the bias…
An exact expression for the distribution of the area swept out by a drifted Brownian motion till its first-passage time is derived. A study of the asymptotic behaviour confirms earlier conjectures and clarifies their range of validity. The…
The joint distribution of a geometric Brownian motion and its time-integral was derived in a seminal paper by Yor (1992) using Lamperti's transformation, leading to explicit solutions in terms of modified Bessel functions. In this paper, we…
In this paper, we propose numerical methods for computing the boundary local time of reflecting Brownian motion (RBM) in R3 and its use in the probabilistic representation of the solution of the Laplace equation with the Neumann boundary…