Related papers: Approximation convergence in the inverse first-pas…
We study a local data inverse problem for the time-dependent Convection-Diffusion Equation (CDE) in a bounded domain where a part of the boundary is treated to be inaccessible. Up on assuming the inaccessible part to be flat, we seek for…
We study the well-posedness for initial boundary value problems associated with time fractional diffusion equations with non-homogenous boundary and initial values. We consider both weak and strong solutions for the problems. For weak…
We investigate the behavior of L\'{e}vy processes with convolution equivalent L\'{e}vy measures, up to the time of first passage over a high level u. Such problems arise naturally in the context of insurance risk where u is the initial…
We study the Darcy boundary value problem with log-normal permeability field. We adopt a perturbation approach, expanding the solution in Taylor series around the nominal value of the coefficient, and approximating the expected value of the…
We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with…
This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are provided when the time-varying autoregressive parameters belong…
Novel sequences of approximants to solutions of Painlev\'e II on finite intervals of the real line, with Neumann boundary conditions, are constructed. Numerical experiments strongly suggest convergence of these sequences in a surprisingly…
In this paper we study first-passage percolation in the configuration model with empirical degree distribution that follows a power-law with exponent $\tau \in (2,3)$. We assign independent and identically distributed (i.i.d.)\ weights to…
Since diffusion processes arise in so many different fields, efficient tech-nics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations…
We study a version of first passage percolation on $\mathbb{Z}^d$ where the random passage times on the edges are replaced by contact times represented by random closed sets on $\mathbb{R}$. Similarly to the contact process without…
This paper analyzes a method to approximate the first passage time probability density function which turns to be particularly useful if only sample data are available. The method relies on a Laguerre-Gamma polynomial approximation and…
We discuss an initial-boundary value problem for a fractional diffusion equation with Caputo time-fractional derivative where the coefficients are dependent on spatial and time variables and the zero Dirichlet boundary condition is…
In this article we study inverse source problems for time-fractional diffusion equations from \textit{a posteriori} boundary measurement. Using the memory effect of these class of equations, we solve these inverse problems for several class…
We consider the initial boundary value problem to equations of motion of an inextensible hanging string of finite length under the action of the gravity. We also consider the problem in the case without any external forces. In this problem,…
We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major…
As a first step in the first passage problem for passive tracer in stratified porous media, we consider the case of a two-dimensional system consisting of two layers with different convection velocities. Using a lattice generating function…
We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…
Motivated by the numerical investigation by Aoki et al. [1], we study a rarefied gas flow between two parallel infinite plates of the same temperature governed by the Boltzmann equation with diffuse reflection boundaries, where one plate is…
An initial-boundary value problem for a time-fractional subdiffusion equation with an arbitrary order elliptic differential operator is considered. Uniqueness and existence of the classical solution of the posed problem are proved by the…
We consider the Oberbeck--Boussinesq approximation driven by an inhomogeneous temperature distribution on the boundary of a bounded fluid domain. The relevant boundary conditions are perturbed by a non--local term arising in the…