Related papers: Variational formulas for the exit time of Hunt pro…

A variational formula for the asymptotic variance of general Markov processes is obtained. As application, we get a upper bound of the mean exit time of reversible Markov processes, and some comparison theorems between the reversible and…

We give some relationships between the first Dirichlet eigenvalues and the exit time moments for the general symmetric Markov processes. As applications, we present some examples, including symmetric diffusions and $\alpha$-stable…

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…

Using a new approach, for spectrally negative L\'evy processes we find joint Laplace transforms involving the last exit time (from a semi-infinite interval), the value of the process at the last exit time and the associated occupation time,…

In this paper we develop some new variational principles for the exit time of non-symmetric diffusions from a domain. As applications, we give some comparison theorems and monotonicity law between different diffusions.

We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownian motion are discussed.

We present a numerical method to compute the survival function and the moments of the exit time for a piecewise-deterministic Markov process (PDMP). Our approach is based on the quantization of an underlying discrete-time Markov chain…

A general theory is derived for the moments of the first passage time of a one-dimensional Markov process in presence of a weak time-dependent forcing. The linear corrections to the moments can be expressed by quadratures of the potential…

For a spectrally one-sided L\'{e}vy process, we extend various two-sided exit identities to the situation when the process is only observed at arrival epochs of an independent Poisson process. In addition, we consider exit problems of this…

It is shown that linear time-dependent invariants for arbitrary multi\-dimensional quadratic systems can be obtained from the Lagrangian and Hamiltonian formulation procedures by considering a variation of coordinates and momenta that…

We relate the convergence of time-changed processes driven by fractional equations to the convergence of corresponding Dirichlet forms. The fractional equations we dealt with are obtained by considering a general fractional operator in…

We derive a moment formula for generalized fractional polynomial processes, i.e., for polynomial-preserving Markov processes time-changed by an inverse L\'evy-subordinator. If the time change is inverse $\alpha$-stable, the time-derivative…

An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…

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…

In this paper we present multivariate space-time fractional Poisson processes by considering common random time-changes of a (finite-dimensional) vector of independent classical (non-fractional) Poisson processes. In some cases we also…

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…

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.…

In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an integration by parts formula for the first exit time of…

We consider open quantum walks on a graph, and consider the random variables defined as the passage time and number of visits to a given point of the graph. We study in particular the probability that the passage time is finite, the…

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…