Related papers: Escape probabilities of compound renewal processes…
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it does not. Particular attention is paid to…
The narrow escape problem consists of deriving the asymptotic expansion of the solution of a drift-diffusion equation with the Dirichlet boundary condition on a small absorbing part of the boundary and the Neumann boundary condition on the…
The problem of reconstructing the drift of a diffusion in $\erre^d$, $d\geq 2$, from the transition probability density observed outside a domain is considered. The solution of this problem also solves a new inverse problem for a class of…
In this paper a class of Ornstein--Uhlenbeck processes driven by compound Poisson processes is considered. The jumps arrive with exponential waiting times and are allowed to be two-sided. The jumps are assumed to form an iid sequence with…
We consider a refracted jump diffusion process having two-sided jumps with rational Laplace transforms. For such a process, by applying a straightforward but interesting approach, we derive formulas for the Laplace transform of its…
For spectrally negative L\'evy processes, we prove several fluctuation results involving a general draw-down time, which is a downward exit time from a dynamic level that depends on the running maximum of the process. In particular, we find…
Within a concept of the fractional diffusion equation and subordination, the paper examines the influence of a competition between long waiting times and long jumps on the escape from the potential well. Applying analytical arguments and…
The usual development of the continuous-time random walk (CTRW) proceeds by assuming that the present is one of the jumping times. Under this restrictive assumption integral equations for the propagator and mean escape times have been…
We investigate the first-passage properties of a jump process with a constant drift, focusing on two key observables: the first-passage time $\tau$ and the number of jumps $n$ before the first-passage event. By mapping the problem onto an…
We analyse an additive-increase and multiplicative-decrease (aka growth-collapse) process that grows linearly in time and that experiences downward jumps at Poisson epochs that are (deterministically) proportional to its present position.…
We propose threshold diffusion processes as unique solutions to stochastic differential equations with step-function coefficients, and obtain explicit expressions for the conditional Laplace transform of the hitting times and the potential…
We introduce and investigate the escape problem for random walkers that may eventually die, decay, bleach, or lose activity during their diffusion towards an escape or reactive region on the boundary of a confining domain. In the case of a…
We study the first-passage properties of a jump process with constant drift where jump amplitudes and inter-arrival times follow arbitrary light-tailed distributions with smooth densities. Using a mapping to an effective discrete-time…
We investigate fluid transport in random velocity fields with unsteady drift. First, we propose to quantify fluid transport between flow regimes of different characteristic motion, by escape probability and mean residence time. We then…
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…
We establish explicit exponential convergence estimates for the renewal theorem, in terms of a uniform component of the inter arrival distribution, of its Laplace transform which is assumed finite on a positive interval, and of the Laplace…
We revise the encounter-based approach to imperfect diffusion-controlled reactions, which employs the statistics of encounters between a diffusing particle and the reactive region to implement surface reactions. We extend this approach to…
Dealing with compound renewal process with generally distributed jump sizes and inter-renewal intervals, we focus on the approximation for the fixed-probability level, which is the core of inverse level crossing problem. We are developing…
We consider an obliquely reflected Brownian motion $Z$ with positive drift in a quadrant stopped at time $T$, where $T:=\inf \{ t>0 : Z(t)=(0,0) \}$ is the first hitting time of the origin. Such a process can be defined even in the…
We compute the exponential decay of the probability that a given multi-dimensional random walk stays in a convex cone up to time $n$, as $n$ goes to infinity. We show that the latter equals the minimum, on the dual cone, of the Laplace…