Related papers: The first-passage time of the Brownian motion to a…

The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by…

We present a novel computational method of first-passage times between a starting site and a target site of regular bounded lattices. We derive accurate expressions for all the moments of this first-passage time, validated by numerical…

We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…

In this paper we present a computation of the mean first-passage times both for a random walk in a discrete bounded lattice, between a starting site and a target site, and for a Brownian motion in a bounded domain, where the target is a…

We use a first-passage time approach to study the statistics of the trapping times induced by persistent motion of active particles colliding with flat boundaries. The angular first-passage time distribution and mean first-passage time is…

We investigate a moving boundary problem for a Brownian particle on the semi-infinite line in which the boundary moves by a distance proportional to the time between successive collisions of the particle and the boundary. Phenomenologically…

A class of algorithms in discrete space and continuous time for Brownian first passage time estimation is considered. A simple algorithm is derived that yields exact mean first passage times (MFPT) for linear potentials in one dimension,…

Since diffusion processes arise in so many different fields, efficient tech-nics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations…

We state an exact simulation scheme for the first passage time of a Brownian motion to a symmetric linear boundary.

This paper analyzes a method to approximate the first passage time probability density function which turns to be particularly useful if only sample data are available. The method relies on a Laguerre-Gamma polynomial approximation and…

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…

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…

We investigate the mean first passage time of an active Brownian particle in one dimension using numerical simulations. The activity in one dimension is modeled as a two state model; the particle moves with a constant propulsion strength…

We prove that for a standard Brownian motion, there exists a first-passage-time density function through a locally H\"older continuous curve with exponent greater than 1/2. By using a property of local time of a standard Brownian motion and…

We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a…

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…

This paper considers the class of L\'evy processes that can be written as a Brownian motion time changed by an independent L\'evy subordinator. Examples in this class include the variance gamma model, the normal inverse Gaussian model, and…

Given a survival distribution on the positive half-axis and a Brownian motion, a solution of the inverse first-passage problem consists of a boundary so that the first passage time over the boundary has the given distribution. We show that…

We study the first-passage time, the distribution of the maximum, and the absorption probability of fractional Brownian motion of Hurst parameter $H$ with both a linear and a non-linear drift. The latter appears naturally when applying…

We study the first passage statistics to adsorbing boundaries of a Brownian motion in bounded two-dimensional domains of different shapes and configurations of the adsorbing and reflecting boundaries. From extensive numerical analysis we…