Related papers: On the first hitting times of one dimensional elli…
The first-passage time is a key concept in stochastic modeling, representing the time at which a process first reaches a specified threshold. In this work, we consider a jump-diffusion (JD) model with a time-dependent threshold, providing a…
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…
In noisy environments such as the cell, many processes involve target sites that are often hidden or inactive, and thus not always available for reaction with diffusing entities. To understand reaction kinetics in these situations, we study…
The paper examines a class of first order linear hyperbolic systems, proposed as a generalization of the Goldstein-Kac model for velocity-jump processes and determined by a finite number of speeds and corresponding transition rates. It is…
We investigate the work fluctuations in an overdamped non-equilibrium process that is stopped at a stochastic time. The latter is characterized by a first passage event that marks the completion of the non-equilibrium process. In…
Despite having been studied for decades, first passage processes remain an active area of research. In this contribution we examine a particle diffusing in an annulus with an inner absorbing boundary and an outer reflective boundary. We…
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…
In this paper, we consider a homogeneous Markov process \xi(t;\omega) on an ultrametric space Q_p, with distribution density f(x,t), x in Q_p, t in R_+, satisfying the ultrametric diffusion equation df(x,t)/dt =-Df(x,t). We construct and…
We derive an approximate but fully explicit formula for the mean first-passage time (MFPT) to a small absorbing target of arbitrary shape in a general elongated domain in the plane. Our approximation combines conformal mapping, boundary…
Based on the mean first passage time (MFPT) theory, we derive the expression of the MFPT in the energy-diffusion controlled regime with a power-law distribution. We discuss the finite barrier effect (i.e. thermal energy is not small with…
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…
We discuss the diffusion phenomenon in the parabolic and hyperbolic regimes. New effects related to the finite velocity of the diffusion process are predicted, that can partially explain the strange behavior associated to adsorption…
The timescales of many physical, chemical, and biological processes are determined by first passage times (FPTs) of diffusion. The overwhelming majority of FPT research studies the time it takes a single diffusive searcher to find a target.…
We calculate the first passage time distribution for diffusion through a cylindrical pore with sticky walls. A particle diffusively explores the interior of the pore through a series of binding and unbinding events with the cylinder wall.…
The statistics of the slowest first-passage time among a large population of $N$ searchers is crucial for determining the completion time of many stochastic processes. Classical extreme-value theory predicts that for diffusing particles in…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
A Monte Carlo method for simulating a multi-dimensional diffusion process conditioned on hitting a fixed point at a fixed future time is developed. Proposals for such diffusion bridges are obtained by superimposing an additional guiding…
Particles confined to a single file, in a narrow quasi-one dimensional channel, exhibit a dynamic crossover from single file diffusion to Fickian diffusion as the channel radius increases and the particles can begin to pass each other. The…
We present two limit theorems, a mean ergodic and a central limit theorem, for a specific class of one-dimensional diffusion processes that depend on a small-scale parameter $\varepsilon$ and converge weakly to a homogenized diffusion…
This article introduces two techniques for computing the distribution of the absorption or first passage time of the drifted Wiener diffusion subject to Poisson resetting times, to an upper hard wall barrier and to a lower absorbing…