Related papers: Exact simulation of the first passage time through…
The time it takes the fastest searcher out of $N\gg1$ searchers to find a target determines the timescale of many physical, chemical, and biological processes. This time is called an extreme first passage time (FPT) and is typically much…
The (conditional or unconditional) distribution of the continuous scan statistic in a one-dimensional Poisson process may be approximated by that of a discrete analogue via time discretization (to be referred to as the discrete…
In the presence of quantum measurements with direct photon detection the evolution of open quantum systems is usually described by stochastic master equations with jumps. Heuristically, from these equations one can obtain diffusion models…
We compute profile likelihoods for a stochastic model of diffusive transport motivated by experimental observations of heat conduction in layered skin tissues. This process is modelled as a random walk in a layered one-dimensional material,…
A novel method is presented to compute the exit time for the stochastic simulation algorithm. The method is based on the addition of a series of random variables and is derived using the convolution theorem. The final distribution is…
We formulate the generalized master equation for a class of continuous time random walks in the presence of a prescribed deterministic evolution between successive transitions. This formulation is exemplified by means of an…
A novel approach called Moate Simulation is presented to provide an accurate numerical evolution of probability distribution functions represented on grids arising from stochastic differential processes where initial conditions are…
We propose an analytical approach to study non-Markov random walks by employing an exact enumeration method. Using the method, we derive an exact expansion for the first-passage time (FPT) distribution for any continuous, differentiable…
We determine the survival probability and first-passage time (FPT) to capture for a harmonically trapped particle, diffusing outside an absorbing spherical boundary by directly solving the differential equation for the survival probability.…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
In this paper we consider the one-dimensional dynamical evolution of a particle traveling at constant speed and performing, at a given rate, random reversals of the velocity direction. The particle is subject to stochastic resetting,…
The narrow escape problem is a first-passage problem concerned with randomly moving particles in a physical domain, being trapped by absorbing surface traps (windows), such that the measure of traps is small compared to the domain size. The…
We present an analytical approximation scheme for the first passage time distribution on a finite interval of a random walker on a random forcing energy landscape. The approximation scheme captures the behavior of the distribution over all…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
Particles confined to a single file, in a narrow quasi-one dimensional channel, exhibit a dynamic crossover from single file diffusion to Fickian diffusion as the channel radius increases and the particles can begin to pass each other. The…
One-dimensional non-equilibrium models of particles subjected to a coagulation-diffusion process are important in understanding non-equilibrium dynamics, and fluctuation-dissipation relation. We consider in this paper transport properties…
Langevin simulation provides an effective way to study collisional effects in beams by reducing the six-dimensional Fokker-Planck equation to a group of stochastic ordinary differential equations. These resulting equations usually have…
We consider the problem of computing first-passage time distributions for reaction processes modelled by master equations. We show that this generally intractable class of problems is equivalent to a sequential Bayesian inference problem…
We study an approach to simulating the stochastic relativistic advection-diffusion equation based on the Metropolis algorithm. We show that the dissipative dynamics of the boosted fluctuating fluid can be simulated by making random…
We study the crossing time statistic of diffusing point particles between the two ends of expanding and narrowing two-dimensional conical channels under a transverse external gravitational field. The theoretical expression for the mean…