Related papers: Approximation convergence in the inverse first-pas…
In this paper we study approximations for boundary crossing probabilities for the moving sums of i.i.d. normal random variables. We propose approximating a discrete time problem with a continuous time problem allowing us to apply developed…
We prove that the variance of the passage time from the origin to a point x in first-passage percolation on Z^d is sublinear in the distance to x when d \geq 2, obeying the bound Cx/(log x), under minimal assumptions on the edge-weight…
Given a two-dimensional correlated diffusion process, we determine the joint density of the first passage times of the process to some constant boundaries. This quantity depends on the joint density of the first passage time of the first…
We prove the well-posedness of the initial boundary value problem for the Einstein equations with sole boundary condition the requirement that the timelike boundary is totally geodesic. This provides the first well-posedness result for this…
The general, multidimensional barrier crossing problem for diffusive processes under the action of conservative forces is studied with the goal of developing tractable approximations. Particular attention is given to the effect of different…
We provide a formulation of the initial boundary value problem for Friedrich's extended conformal Einstein field equations in which boundary data is prescribed on a timelike hypersurface located at a finite position in the spacetime. Our…
We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…
This paper is an overview of the classical level crossing problem which is studied extensively in the literature and is fundamental in many branches of applied probability. We discuss a number of approximations with an emphasis on their…
In this paper we study approximations for the boundary crossing probabilities of moving sums of i.i.d. normal r.v. We approximate a discrete time problem with a continuous time problem allowing us to apply established theory for stationary…
We consider the initial boundary value problem for the time-fractional diffusion equation with a homogeneous Dirichlet boundary condition and an inhomogeneous initial data $a(x)\in L^{2}(D)$ in a bounded domain $D\subset \mathbb{R}^d$ with…
The problem of approximating/tracking the value of a Wiener process is considered. The discretization points are placed at times when the value of the process differs from the approximation by some amount, here denoted by eta. It is found…
In this paper, we study an inverse problem for identifying the initial value in a space-time fractional diffusion equation from the final time data. We show the identifiability of this inverse problem by proving the existence of its unique…
We introduce and study a non-oriented first passage percolation model having a property of statistical invariance by time reversal. This model is defined in a graph having directed edges and the passage times associated with each set of…
We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for…
We consider the initial boundary value problem for the Einstein vacuum equations in the maximal gauge, or more generally, in a gauge where the mean curvature of a timelike foliation is fixed near the boundary. We prove the existence of…
An initial-boundary value problem for a subdiffusion equation with an elliptic operator $A(D)$ in $\mathbb{R}^N$ is considered. The existence and uniqueness theorems for a solution of this problem are proved by the Fourier method.…
Given a Wiener process with unknown and unobservable drift, we try to estimate this drift as effectively but also as quickly as possible, in the presence of a quadratic penalty for the estimation error and of a fixed, positive cost per unit…
We address some inverse problems for the first-passage place and the first-passage time of a one-dimensional diffusion process $\mathcal X(t)$ with stochastic resetting, starting from an initial position $\mathcal X(0)= \eta ;$ this type of…
We consider the standard model of first-passage percolation on $\mathbb{Z}^d$ ($d\geq 2$), with i.i.d. passage times associated with either the edges or the vertices of the graph. We focus on the particular case where the distribution of…
First passage percolation on $\mathbb{Z}^2$ is a model for describing the spread of an infection on the sites of the square lattice. The infection is spread via nearest neighbor sites and the time dynamic is specified by random passage…