Related papers: Escape probabilities of compound renewal processes…
The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…
The problem of eliminating fast-relaxing variables to obtain an effective drift-diffusion process in position is solved in a uniform and straightforward way for models with velocity a function jointly of position and fast variables. A more…
In this article we determine the Laplace transforms of the main boundary functionals of the oscillating compound Poisson process. These are the first passage time of the level, the joint distribution of the first exit time from the interval…
Rotor walk is a deterministic analogue of simple random walk. For any given graph, we construct a rotor configuration for which the escape rate of the corresponding rotor walk is equal to the escape rate of simple random walk, and thus…
We introduce planar random walk conditioned to avoid its past convex hull, and we show that it escapes at a positive limsup speed. Experimental results show that fluctuations from a limiting direction are on the order of n^(3/4). This…
Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…
Let {X_n,n\geq0} be a Markov chain on a general state space X with transition probability P and stationary probability \pi. Suppose an additive component S_n takes values in the real line R and is adjoined to the chain such that…
The problem of sums of independent, identically distributed random variables with stretched-exponential tails exhibits a dynamical phase transition and has recently reemerged in the context of active transport and condensation phenomena. We…
In this paper we analyze a coupling between the very large jumps in physical and operational times as applied to anomalous diffusion. The approach is based on subordination of a skewed Levy-stable process by its inverse to get two types of…
We study subexponential tail asymptotics for the distribution of the maximum $M_t:=\sup_{u\in[0,t]}X_u$ of a process $X_t$ with negative drift for the entire range of $t>0$. We consider compound renewal processes with linear drift and…
We discuss importance sampling schemes for the estimation of finite time exit probabilities of small noise diffusions that involve escape from an equilibrium. A factor that complicates the analysis is that rest points are included in the…
Thermally activated escape over a potential barrier in the presence of periodic driving is considered. By means of novel time-dependent path-integral methods we derive asymptotically exact weak-noise expressions for both the instantaneous…
We study the probability distribution and the escape rate in systems with delayed dissipation that comes from the coupling to a thermal bath. To logarithmic accuracy in the fluctuation intensity, the problem is reduced to a variational…
A theory concerning the emergence and control of chaotic escape from a potential well by means of autoresonant excitations is presented in the context of generic, dissipative, and multistable systems. Universal scaling laws relating both…
We give computable bounds on the rate of convergence of the transition probabilities to the stationary distribution for a certain class of geometrically ergodic Markov chains. Our results are different from earlier estimates of Meyn and…
The time needed for a particle to exit a confining domain through a small window, called the narrow escape time (NET), is a limiting factor of various processes, such as some biochemical reactions in cells. Obtaining an estimate of the mean…
We prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transform of the exit time under the assumption that positive jumps…
We establish a general sufficient condition for a sequence of Galton Watson branching processes in varying environment to converge weakly. This condition extends previous results by allowing offspring distributions to have infinite…
We study the survival probability of moving relativistic unstable particles with definite momentum $\vec{p} \neq 0$. The amplitude of the survival probability of these particles is calculated using its integral representation. We found…
The paper presents two results. The first one provides separate conditions for the upper and lower estimate of the distribution of the exit time from balls of a random walk on a weighted graph. The main result of the paper is that the lower…