Related papers: Diffusion hitting times and the Bell-shape
We compute the joint distribution of the site and the time at which a $d$-dimensional standard Brownian motion $B_t$ hits the surface of the ball $ U(a) =\{|{\bf x}|<a\}$ for the first time. The asymptotic form of its density is obtained…
A multiplicative identity in law connecting the hitting times of completely asymmetric $\alpha-$stable L\'evy processes in duality is established. In the spectrally positive case, this identity allows with an elementary argument to compute…
We suggest an explanation of typical incubation times statistical features based on the universal behavior of exit times for diffusion models. We give a mathematically rigorous proof of the characteristic right skewness of the incubation…
We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the…
With the help of the methods developed in our previous article [Schmitz, to appear in "Annales de l'I.H.P. Prob. & Stat.], we highlight condition (T) as a source of new examples of 'ballistic' diffusions in a random environment when d>1…
Generalized dimensions of multifractal measures are usually seen as static objects, related to the scaling properties of suitable partition functions, or moments of measures of cells. When these measures are invariant for the flow of a…
We show that the hitting times for points of real $\alpha-$stable L\'evy processes ($1<\alpha\le 2$) are unimodal random variables. The argument relies on strong unimodality and several recent multiplicative identities in law. In the…
It has recently been shown that there are substantial differences in the regularity behavior of the empirical process based on scalar diffusions as compared to the classical empirical process, due to the existence of diffusion local time.…
A non--linear diffusion equation is derived by taking into account hopping rates depending on the occupation of next neighbouring sites. There appears additonal repulsive and attractive forces leading to a changed local mobiltiy. The…
The partial differential equation of Gaussian diffusion is generalized by using the time-fractional derivative of distributed order between 0 and 1, in both the Riemann-Liouville (R-L) and the Caputo (C) sense. For a general distribution of…
It is well known that a regular diffusion on an interval $I$ without killing inside is uniquely determined by a canonical scale function $s$ and a canonical speed measure $m$. Note that $s$ is a strictly increasing and continuous function…
This paper studies hitting properties for the system of generalized fractional kinetic equations driven by Gaussian noise fractional in time and white or colored in space. We derive the mean square modulus of continuity and some second…
We consider the time dependent dispersion properties of overdamped tracer particles diffusing in a one dimensional periodic potential under the influence of an additional constant tilting force $F$. The system is studied in the region where…
A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…
Droplet patterns condensing on solid substrates (breath figures) tend to evolve into a self-similar regime, characterized by a bimodal droplet size distribution. The distributions comprise a bell-shaped peak of monodisperse large droplets,…
In this paper we consider diffusions on the half line (0, $\infty$) such that the expectation of the arrival time at the origin is uniformly bounded in the initial point. This implies that there is a well defined diffusion process starting…
We study time series concerning rare events. The occurrence of a rare event is depicted as a jump of constant intensity always occurring in the same direction, thereby generating an asymmetric diffusion process. We consider the case where…
Certain biochemical reactions can only be triggered after binding of a sufficient number of particles to a specific target region such as an enzyme or a protein sensor. We investigate the distribution of the reaction time, i.e., the first…
We discuss the induced star formation in dense walls of expanding shells. The fragmentation process is studied using the linear perturbation theory. The influence of the energy input, the ISM distribution and the ISM speed of sound is…
Under very general conditions the hitting time of a set by a stochastic process is a stopping time. We give a new simple proof of this fact. The section theorems for optional and predictable sets are easy corollaries of the proof.