Related papers: A continuous-time Ehrenfest model with catastrophe…
We consider a time-inhomogeneous diffusion process able to describe the dynamics of infected people in a susceptible-infectious epidemic model in which the transmission intensity function is time-dependent. Such a model is well suited to…
For a birth-death process subject to catastrophes, defined on the state-space $S=\{r,r+1,r+2,...\}$, with $r$ a positive integer or zero, the first-visit time to a state $k\in S$ is considered and the Laplace transform of its probability…
Determining accurately when regime and structural changes occur in various time-series data is critical in many social and natural sciences. We develop and show further the equivalence of two consistent estimation techniques in locating the…
The reliability of processes with moving elastic and isotropic material containing initial cracks is considered in terms of fracture. The material is modelled as a moving plate which is simply supported from two of its sides and subjected…
We derive an extension of the standard time dependent WKB theory which can be applied to propagate coherent states and other strongly localised states for long times. It allows in particular to give a uniform description of the…
In one-dimensional systems, the dynamics of a Brownian particle are governed by the force derived from a potential as well as by diffusion properties. In this work, we obtain the first-passage-time statistics of a Brownian particle driven…
The first-passage time is a key concept in stochastic modeling, representing the time at which a process first reaches a specified threshold. In this work, we consider a jump-diffusion (JD) model with a time-dependent threshold, providing a…
We consider a hybrid diffusion process that is a combination of two Ornstein-Uhlenbeck processes with different restraining forces. This process serves as the heavy-traffic approximation to the Markovian many-server queue with abandonments…
We use asymptotic methods from the theory of differential equations to obtain an analytical expression for the survival probability of an Ornstein-Uhlenbeck process with a potential defined over a broad domain. We form a uniformly…
We investigate the joint distribution and the multivariate survival functions for the maxima of an Ornstein-Uhlenbeck (OU) process in consecutive time-intervals. A PDE method, alongside an eigenfunction expansion, is adopted with which we…
We study a broad class of high-dimensional mean-field exchange models, encompassing both noisy and singular dynamics, along with their dual processes. This includes a generalized version of the averaging process as well as some…
We study real-space condensation phenomena in a type of classical stochastic processes (site-particle system), such as zero-range processes and urn models. We here study a stochastic process in the Ehrenfest class, i.e., particles in a site…
We consider a family of one-dimensional diffusions, in dynamical Wiener mediums, which are random perturbations of the Ornstein-Uhlenbeck diffusion process. We prove quenched and annealed convergences in distribution and under weighted…
The small noise cut-off phenomenon in continuous time and space has been studied in the recent literature for the linear and non-linear stable Langevin dynamics with additive L\'evy drivers - understood as abrupt thermalization of the…
We consider $M/Ph/n+M$ queueing systems in steady state. We prove that the Wasserstein distance between the stationary distribution of the normalized system size process and that of a piecewise Ornstein-Uhlenbeck (OU) process is bounded by…
Constructing \Levy-driven Ornstein-Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their transition laws are linked to the properties of what will be hereafter called the \emph{a-reminder}…
Ornstein-Uhlenbeck process of bounded variation is introduced as a solution of an analogue of the Langevin equation with an integrated telegraph process replacing a Brownian motion. There is an interval $I$ such that the process starting…
In closed quantum systems, wavepackets can spread exponentially in time due to chaos, forming long-range superpositions in just seconds for ordinary macroscopic systems. A weakly coupled environment is conjectured to decohere the system and…
We develop efficient methods for simulating processes of Ornstein-Uhlenbeck type related to the class of $p$-tempered $\alpha$-stable ($\ts$) distributions. Our results hold for both the univariate and multivariate cases and we consider…
We study phase transitions of a system of particles on the one-dimensional integer lattice moving with constant acceleration, with a collision law respecting slower particles. This simple deterministic ``particle-hopping'' traffic flow…