Related papers: Unified approach for solving exit problems for add…
We study the exit time $\tau=\tau_{(0,\infty)}$ for 1-dimensional strictly stable processes and express its Laplace transform at $t^\alpha$ as the Laplace transform of a positive random variable with explicit density. Consequently, $\tau$…
This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random…
In this paper we study a spectrally negative L\'{e}vy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-theoretical approach, for such a reflected process we…
The lilypond model on a point process in $d$-space is a growth-maximal system of non-overlapping balls centred at the points. We establish central limit theorems for the total volume and the number of components of the lilypond model on a…
Chase-escape is a competitive growth process in which red particles spread to adjacent empty sites according to a rate-$\lambda$ Poisson process while being chased and consumed by blue particles according to a rate-$1$ Poisson process.…
In this paper, we study boundary-value problems describing the exit distribution of finite-velocity random motions from prescribed domains. For the standard telegraph process, with and without drift, we derive the Dirichlet problems…
Populations experience a complex interplay of continuous and discrete processes: continuous growth and interactions are punctuated by discrete reproduction events, dispersal, and external disturbances. These dynamics can be modeled by…
We formulate a model that describes the escape dynamics in a leaky chaotic system in which the size of the leak depends on the number of the in-falling particles. The basic motivation of this work is the astrophysical process which…
The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder'' when the observed process changes its probability characteristics. We give a partial answer to this question for…
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…
Let $S=(S_n)$ be an oscillatory random walk on the integer lattice $\mathbb{Z}$ with i.i.d. increments. Let $V_{{\rm d}}(x)$ be the renewal function of the strictly descending ladder height process for $S$. We obtain several sufficient…
We discuss relaxation and aging processes in the one- and two-dimensional $ABC$ models. In these driven diffusive systems of three particle types, biased exchanges in one direction yield a coarsening process characterized in the long time…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…
By considering the master equation of asymmetric exclusion process on a one-dimensional lattice, we obtain the most general boundary condition of the multi-species exclusion processes in which the number of particles is constant in time.…
We study a class of stochastic evolution equations of jump type with random coefficients and its optimal control problem. There are three major ingredients. The first is to prove the existence and uniqueness of the solutions by continuous…
We consider continuous state branching processes (CSBP) with additional multiplicative jumps modeling dramatic events in a random environment. These jumps are described by a L\'evy process with bounded variation paths. We construct a…
We study the distribution of the 'gap time', the first time that a large gap appears, in the spatial birth and death point process on $[0,1]$ in which particles are added uniformly in space at rate $\lambda$ and are removed independently at…
Poisson's equation plays a fundamental role as a tool for performance evaluation and optimization of Markov chains. For continuous-time birth-death chains with possibly unbounded transition and cost rates as addressed herein, when…
We study two time-changed variants of the birth-death process with catastrophe where the time-changing components are the first hitting times of the stable subordinator and the tempered stable subordinator. For both the processes, we derive…
We introduce the headway exclusion process which is an exclusion process with $N$ particles on the one-dimensional discrete torus with $L$ sites with jump rates that depend only on the distance to the next particle in the direction of the…