Related papers: A density for the local time of the Brox diffusion

A mixing time density of $A + B \to 0$ on a finite one dimensional domain is defined for general initial and boundary conditions in which $A$ and $B$ diffuse at the same rate. The density is a measure of the number of $A$ and $B$ particles…

Diffusion with stochastic resetting has recently emerged as a powerful modeling tool with a myriad of potential applications. Here, we study local time in this model, covering situations of free and biased diffusion with, and without, the…

In this communication, we show that the residence time of a Brownian particle, defined as the cumulative time spent in a given region of space, can be optimized as a function of the diffusion coefficient. We discuss the relevance of this…

It is pointed out that the moments of phase-space particle density at freeze-out can be determined from the coincidence probabilities of the events observed in multiparticle production. A method to measure the coincidence probabilities is…

Let (Xt, t >= 0) be a diffusion process with jumps, sum of a Brownian motion with drift and a compound Poisson process. We consider T_x the first hitting time of a fixed level x > 0 by (Xt, t >= 0). We prove that the law of T_x has a…

The propagation of light in a scattering medium is described as the motion of a special kind of a Brownian particle on which the fluctuating forces act only perpendicular to its velocity. This enforces strictly and dynamically the…

In this note we show a simple formula for the joint density of local times, last exit tree and cycling numbers of continuous-time Markov Chains on finite graphs, which involves the modified Bessel function of the first type.

For a diffusion X_t in a one-dimensional Wiener medium W, it is known that there is a certain process b_x(W) that depends only on the environment W, so that X_t-b_{logt}(W) converges in distribution as t goes to infinity. We prove that,…

We establish the consistency of a local time approximation of a diffusion at a sticky threshold based on high-frequency observations. First, we prove the result for sticky Brownian motion, and then extend it to It\^o diffusions with a…

Local percolation probabilities are used to characterize the connectivity in porous and heterogeneous media. Together with local porosity distributions they allow to predict transport properties \cite{hil91d}. While local porosity…

The diffusion equation is the primary tool to study the movement dynamics of a free Brownian particle, but when spatial heterogeneities in the form of permeable interfaces are present, no fundamental equation has been derived. Here we…

In this paper, we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. Namely, we show that, under broad assumptions, the first…

For a diffusion process $X(t)$ of drift $\mu(x)$ and of diffusion coefficient $D=1/2$, we study the joint distribution of the two local times $A(t)= \int_{0}^{t} d\tau \delta(X(\tau)) $ and $B(t)= \int_{0}^{t} d\tau \delta(X(\tau)-L) $ at…

We study the time until first occurrence, the first-passage time, of rare density fluctuations in diffusive systems. We approach the problem using a model consisting of many independent random walkers on a lattice. The existence of spatial…

The disturbance of the transmission of light through a diffusive medium due to an object hidden in it can be expressed in terms of an effective charge and dipole moment. In the mesoscopic regime, beyond the diffusion approximation, we…

A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…

First-order statistics of scattered light is described using the representation of probability density cloud which visualizes a two-dimensional distribution for complex amplitude. The geometric parameters of the cloud are studied in detail…

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…

In this paper we consider a multiparticle version of a recent probabilistic framework for studying diffusion-mediated surface reactions. The basic idea of the probabilistic approach is to consider the joint probability density or…

In this paper, we develop a Monte Carlo based algorithm for estimating the FPT density of a time-homogeneous SDE through a time-dependent frontier. We consider Brownian bridges as well as localized Daniels curve approximations to obtain…