Related papers: First exit and Dirichlet problem for the nonisotro…

We address some inverse problems for the first-passage place and the first-passage time of a one-dimensional diffusion process $\mathcal X(t)$ with stochastic resetting, starting from an initial position $\mathcal X(0)= \eta ;$ this type of…

In this work, we consider the fractional Stefan-type problem in a Lipschitz bounded domain $\Omega\subset\mathbb{R}^d$ with time-dependent Dirichlet boundary condition for the temperature $\vartheta=\vartheta(x,t)$, $\vartheta=g$ on…

In this paper, we study the first-exit time of stochastic difference equation $X^\eta_{j+1}(x) = X^\eta_{j}(x) + \eta a\big( X^\eta_{j}(x)\big) + \eta \sigma\big( X^\eta_{j}(x)\big)Z_{j+1}$ and its truncated variant $X^{\eta|b}_{j+1}(x) =…

First passage phenomena arise across physics, biology, and finance when stochastic processes first reach a threshold, triggering downstream events. Examples include the irreversible exit from a domain, a biochemical reaction, a financial…

We consider the first exit point distribution from a bounded domain $\Omega$ of the stochastic process $(X_t)_{t\ge 0}$ solution to the overdamped Langevin dynamics $$d X_t = -\nabla f(X_t) d t + \sqrt{h} \ d B_t$$ starting from the…

The paper deals with a Dirichlet spectral problem for a singularly perturbed second order elliptic operator with rapidly oscillating locally periodic coefficients. We study the limit behaviour of the first eigenpair (ground state) of this…

In this paper, we consider the problem of minimizing the exit rate with which a diffusion process pertaining to a chain of distributed control systems, with random perturbations, exits from a given bounded open domain. In particular, we…

Properties of the noise-driven escape kinetics are mainly determined by the stochastic component of the system dynamics. Nevertheless, the escape dynamics is also sensitive to deterministic forces. Here, we are exploring properties of the…

Probing deeper into the existing issues regarding the exit probability (EP) in one dimensional dynamical models, we consider several models where the states are represented by Ising spins and the information flows inwards. At zero…

In this paper we are concerned with the following Kirchhoff type problem involving the 1-Laplace operator : \begin{equation*} \left\{\begin{array}{llc} u_{t}-m\left(\int_{\Omega}|Du|\right)\Delta_{1} u=0 & \text{in}\ & \Omega\times…

We consider SDEs of the form $dX_t = |f(X_t)|/t^{\gamma} dt+1/t^{\gamma} dB_t$, where $f(x)$ behaves comparably to $|x|^k$ in a neighborhood of the origin, for $k\in [1,\infty)$. We show that there exists a threshold value…

For non-Gaussian stochastic dynamical systems, mean exit time and escape probability are important deterministic quantities, which can be obtained from integro-differential (nonlocal) equations. We develop an efficient and convergent…

We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major…

Many transport processes in ecology, physics and biochemistry can be described by the average time to first find a site or exit a region, starting from an initial position. Typical mathematical treatments are based on formulations that…

We study the thermal escape problem in the moderate-to-high and high damping regime of a system with a parabolic barrier. We present a formula that matches our numerical results accounting for finite barrier effects, and compare it with…

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…

We consider the nonlinear eigenvalue problem $ L u = \lambda f(u) $, posed in a smooth bounded domain $ \Omega \subseteq \Bbb{R}^{N} $ with Dirichlet boundary condition, where $ L $ is a uniformly elliptic second-order linear differential…

In this paper, we consider a nonlocal parabolic equation associated with initial and Dirichlet boundary conditions. Firstly, we discuss the vacuum isolating behavior of solutions with the help of a family of potential wells. Then we obtain…

We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for…

This paper is focused on the generalized Forchheimer flows of isentropic gas, described by a system of two nonlinear degenerating differential equations of first order. We prove the existence and uniqueness of the Dirichlet problem for…