Related papers: Explicit Asymptotics on First Passage Times of Dif…
Extreme value functionals of stochastic processes are inverse functionals of the first passage time -- a connection that renders their probability distribution functions equivalent. Here, we deepen this link and establish a framework for…
Discrete flow models offer a powerful framework for learning distributions over discrete state spaces and have demonstrated superior performance compared to the discrete diffusion models. However, their convergence properties and error…
We extend the random walk framework to include compounded steps, providing first-passage time (FPT) properties for a new class of superdiffusive processes, which are governed by the space-fractional spectral Fokker-Planck equation. This…
We determine the asymptotic speed of the first-passage percolation process on some ladder-like graphs (or width-2 stretches) when the times associated with different edges are independent and exponentially distributed but not necessarily…
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach…
A general theory is derived for the moments of the first passage time of a one-dimensional Markov process in presence of a weak time-dependent forcing. The linear corrections to the moments can be expressed by quadratures of the potential…
We consider the heavy-traffic approximation to the $GI/M/s$ queueing system in the Halfin-Whitt regime, where both the number of servers $s$ and the arrival rate $\lambda$ grow large (taking the service rate as unity), with…
We present a novel method for approximating the probability density function (PDF) of the first-passage times in the Ratcliff diffusion decision model (DDM). We implemented this approximation method in $\texttt{C++}$ using the $\texttt{R}$…
We study the first-passage dynamics of a non-Markovian stochastic process with time-averaged feedback, which we model as a one-dimensional Ornstein--Uhlenbeck process wherein the particle drift is modified by the empirical mean of its…
We investigate the diffusive motion of an overdamped classical particle in a 1D random potential using the mean first-passage time formalism and demonstrate the efficiency of this method in the investigation of the large-time dynamics of…
We present a theoretical framework that enables investigating rare transitions in a general model of an active particle in an external potential, with the thermal Active Ornstein-Uhlenbeck Particle (AOUP) appearing as a special case. Using…
The time of the first occurrence of a threshold crossing event in a stochastic process, known as the first passage time, is of interest in many areas of sciences and engineering. Conventionally, there is an implicit assumption that the…
We study the first-passage time (FPT) problem for widespread recurrent processes in confined though large systems and present a comprehensive framework for characterizing the FPT distribution over many time scales. We find that the FPT…
We investigate the first-passage dynamics of symmetric and asymmetric L\'evy flights in a semi-infinite and bounded intervals. By solving the space-fractional diffusion equation, we analyse the fractional-order moments of the first-passage…
This paper develops a method for solving free boundary problems for time-homogeneous diffusions. We combine the complete exponential system of solutions for the heat equation, transmutation operators and recently discovered Neumann series…
The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially…
First passage time models describe the time it takes for a random process to exit a region of interest and are widely used across various scientific fields. Fast and accurate numerical methods for computing the likelihood function in these…
In this paper, we study the classical problem of the first passage hitting density of an Ornstein--Uhlenbeck process. We give two complementary (forward and backward) formulations of this problem and provide semi-analytical solutions for…
We derive expressions for the first three moments of the decision time (DT) distribution produced via first threshold crossings by sample paths of a drift-diffusion equation. The "pure" and "extended" diffusion processes are widely used to…
Let X be some homogeneous additive functional of a skew Bessel process Y. In this note, we compute the asymptotics of the first passage time of X to some fixed level b, and study the position of Y when X exits a bounded interval [a, b]. As…