Related papers: Persistence and exit times for some additive funct…
The inverse first passage time problem asks whether, for a Brownian motion $B$ and a nonnegative random variable $\zeta$, there exists a time-varying barrier $b$ such that $\mathbb{P}\{B_s>b(s),0\leq s\leq t\}=\mathbb{P}\{\zeta>t\}$. We…
We derive the asymptotic behavior for an additive functional of two independent self-similar Gaussian processes when their intersection local time exists, using the method of moments.
Smoothness and asymptotic behaviors are studied for the densities of the law of the occupation time on the positive line for Bessel bridges and the normalized excursion of strictly stable processes. The key role is played by these…
We study the exit time from a bounded multi-dimensional domain $\Omega$ of the stochastic process $\mathbf{Y}_\varepsilon=\mathbf{Y}_\varepsilon(t,a)$, $t\geqslant 0$, $a\in \mathcal{A}$, governed by the overdamped Langevin dynamics…
A random walk problem with particles on discrete double infinite linear grids is discussed. The model is based on the work of Montroll and others. A probability connected with the problem is given in the form of integrals containing…
We extend to the vector-valued situation some earlier work of Ciesielski and Roynette on the Besov regularity of the paths of the classical Brownian motion. We also consider a Brownian motion as a Besov space valued random variable. It…
We derive the first-passage-time statistics of a Brownian motion driven by an exponential time-dependent drift up to a threshold. This process corresponds to the signal integration in a simple neuronal model supplemented with an…
We study the asymptotic behaviour of the probability that a stochastic process $(Z_t)_{t \geq 0}$ does not exceed a constant barrier up to time $T$ (the so called survival probability) when Z is the composition of two independent processes…
We derive the exact asymptotics of $P(\sup_{u\leq t}X(u) > x)$ if $x$ and $t$ tend to infinity with $x/t$ constant, for a L\'{e}vy process $X$ that admits exponential moments. The proof is based on a renewal argument and a two-dimensional…
We consider various problems related to the persistence probability of fractional Brownian motion (FBM), which is the probability that the FBM $X$ stays below a certain level until time $T$. Recently, Oshanin et al. study a physical model…
We consider the sum of two self-similar centred Gaussian processes with different self-similarity indices. Under non-negativity assumptions of covariance functions and some further minor conditions, we show that the asymptotic behaviour of…
Let \{B_t^H,t\geq0\} be a d-dimensional fractional Brownian motion. We prove that the approximation of the first-order derivative of self-intersection local time, defined as…
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…
For many stochastic processes, the probability $S(t)$ of not-having reached a target in unbounded space up to time $t$ follows a slow algebraic decay at long times, $S(t)\sim S_0/t^\theta$. This is typically the case of symmetric compact…
Last passage times arise in a number of areas of applied probability, including risk theory and degradation models. Such times are obviously not stopping times since they depend on the whole path of the underlying process. We consider the…
In this paper, we study Bessel processes of dimension $\delta\equiv2(1-\mu)$, with $0<\delta<2$, and some related martingales and random times. Our approach is based on martingale techniques and the general theory of stochastic processes…
Under some weak conditions, the first-passage time of the Brownian motion to a continuous curved boundary is an almost surely finite stopping time. Its probability density function (pdf) is explicitly known only in few particular cases.…
This paper stidies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the…
Sticky diffusion processes on bounded domains spend finite time (and finite mean time) on the lower-dimensional space given by the boundary. Once the process hits the boundary, then it starts again after a random amount of time. While on…
The Ray--Knight theorems show that the local time processes of various path fragments derived from a one-dimensional Brownian motion $B$ are squared Bessel processes of dimensions $0$, $2$, and $4$. It is also known that for various…