Related papers: Explicit Asymptotics on First Passage Times of Dif…
Motivated by the dynamics of resonant neurons we consider a differentiable, non-Markovian random process $x(t)$ and particularly the time after which it will reach a certain level $x_b$. The probability density of this first passage time is…
Statistics of stochastic processes are crucially influenced by the boundary conditions. In one spatial dimension, for example, the first passage time distribution in semi-infinite space (one absorbing boundary) is markedly different from…
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 problem of the time required for a diffusing molecule, within a large bounded domain, to first locate a small target is prevalent in biological modeling. Here we study this problem for a small spherical target. We develop uniform in…
This paper introduces a framework for simulating finite dimensional representations of (jump) diffusion sample paths over finite intervals, without discretisation error (exactly), in such a way that the sample path can be restored at any…
We discuss the first passage time problem in the semi-infinite interval, for homogeneous stochastic Markov processes with L{\'e}vy stable jump length distributions $\lambda(x)\sim\ell^{\alpha}/|x|^{1+\alpha}$ ($|x|\gg\ell$), namely,…
First-passage properties are central to the kinetics of target-search processes. Theoretical approaches so far primarily focused on predicting first-passage statistics for a given process or model. In practice, however, one faces the…
We investigate the first-passage properties of nearest-neighbor hopping on a finite interval with disordered hopping rates. We develop an approach that relies on the backward equation, in conjunction with probability generating functions,…
The survival probability and the first-passage-time statistics are important quantities in different fields. The Wiener process is the simplest stochastic processwith continuous variables, and important results can be explicitly found from…
We determine the full distribution and moments of the first passage time for a wide class of stochastic search processes in the limit of frequent stochastic resetting. Our results apply to any system whose short-time behavior of the search…
The first passage time for a single diffusing particle has been studied extensively, but the first passage time of a system of many diffusing particles, as is often the case in physical systems, has received little attention until recently.…
We revise the classical problem of characterizing first exit times of a harmonically trapped particle whose motion is described by one- or multi-dimensional Ornstein-Uhlenbeck process. We start by recalling the main derivation steps of a…
We introduce a perturbative method to calculate all moments of the first-passage time distribution in stochastic one-dimensional processes which are subject to both white and coloured noise. This class of non-Markovian processes is at the…
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…
The time it takes the fastest searcher out of $N\gg1$ searchers to find a target determines the timescale of many physical, chemical, and biological processes. This time is called an extreme first passage time (FPT) and is typically much…
Fastest arrival events, where the first among many diffusing particles reaches a target, are central in triggering signal initiation in molecular stochastic systems. Classical approaches to simulate such events rely on full trajectory…
We present a perturbation theory by extending a prescription due to Feynman for computing the probability density function for the random flight motion. The method can be applied to a wide variety of otherwise difficult circumstances. The…
We consider the first exit time of a Shiryaev-Roberts diffusion with constant positive drift from the interval $[0,A]$ where $A>0$. We show that the moment generating function (Laplace transform) of a suitably standardized version of the…
We study a first passage time of a L\'evy process over a positive constant level. In the spectrally negative case we give conditions for absolutely continuity of the distributions of the first passage times. The tail asymptotics of their…
We investigate performance of approximations put forth in \citeNP{[Malinovskii 2017a]} and \citeNP{[Malinovskii 2017b]} for the distribution of the time of first level $u$ crossing by the random process $\homV{s}-cs$, $s>0$, where…