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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…

Statistical Finance · Quantitative Finance 2010-03-25 Jaume Masoliver , Josep Perello

Predictability of behavior has emerged an an important characteristic in many fields including biology, medicine, and marketing. Behavior can be recorded as a sequence of actions performed by an individual over a given time period. This…

Methodology · Statistics 2017-11-13 Brian Vegetabile , Jenny Molet , Tallie Z. Baram , Hal Stern

Entropy serves as a central observable in equilibrium thermodynamics. However, many biological and ecological systems operate far from thermal equilibrium. Here we show that entropy production can characterize the behavior of such…

Statistical Mechanics · Physics 2015-03-17 Benjamin Andrae , Jonas Cremer , Tobias Reichenbach , Erwin Frey

We derive the expression for the entropy production for stochastic dynamics defined on a continuous space of states containing unidirectional transitions. The expression is derived by taking the continuous limit of a stochastic dynamics on…

Statistical Mechanics · Physics 2024-09-05 Mário J. de Oliveira

In nature stationary nonequilibrium systems cannot exist on their own, rather they need to be driven from outside in order to keep them away from equilibrium. While the internal mean entropy of such stationary systems is constant, the…

Statistical Mechanics · Physics 2013-10-03 Somayeh Zeraati , Farhad H. Jafarpour , Haye Hinrichsen

Estimating entropy production, which quantifies irreversibility and energy dissipation, remains a significant challenge despite its central role in nonequilibrium physics. We propose a novel method for estimating the mean entropy production…

Statistical Mechanics · Physics 2026-01-05 Ivan Di Terlizzi

The selection of an equilibrium state by maximising the entropy of a system, subject to certain constraints, is often powerfully motivated as an exercise in logical inference, a procedure where conclusions are reached on the basis of…

Statistical Mechanics · Physics 2015-12-03 Ian J. Ford

Entropy production is a key quantity in any finite-time thermodynamic process. It is intimately tied with the fundamental laws of thermodynamics, embodying a tool to extend thermodynamic considerations all the way to non-equilibrium…

Quantum Physics · Physics 2022-02-08 Gabriel T. Landi , Mauro Paternostro

We explore the consequences of a deterministic microscopic thermostat-reservoir contact mechanism. With different temperature reservoirs at each end of a two-dimensional system, a heat current is produced and the system has an anomalous…

Statistical Mechanics · Physics 2015-06-15 Gary P. Morriss , Daniel P. Truant

We study the entropy production rate in systems described by linear Langevin equations, containing mixed even and odd variables under time reversal. Exact formulas are derived for several important quantities in terms only of the means and…

Statistical Mechanics · Physics 2015-07-02 Gabriel T. Landi , Tânia Tomé , Mario J. de Oliveira

To describe the nonequilibrium states of a system we introduce a new thermodynamic parameter - the lifetime (the first passage time) of a system. The statistical distributions that can be obtained out of the mesoscopic description…

Chemical Physics · Physics 2007-05-23 V. V. Ryazanov

A fluctuation theorem is examined for the first-passage time of a biomolecular machine (e.g., a motor protein or an enzyme) in a nonequilibrium steady-state. For such machines in which the driven, observable process is coupled to a hidden…

Biological Physics · Physics 2025-09-15 D. Evan Piephoff , Jianshu Cao

The First Passage Time (FPT) is the time taken for a stochastic process to reach a desired threshold. In this letter we address the FPT of the stochastic measurement current in the case of continuously measured quantum systems. Our approach…

Quantum Physics · Physics 2024-08-08 Michael J. Kewming , Anthony Kiely , Steve Campbell , Gabriel T. Landi

We propose an alternative method to compute the entropy production of a classical underdamped nonequilibrium system in a continuous phase space. This approach has the advantage that it is not necessary to distinguish between even and…

Statistical Mechanics · Physics 2013-10-23 David Luposchainsky , Haye Hinrichsen

We propose a method for inferring entropy production (EP) in high-dimensional stochastic systems, including many-body systems and non-Markovian systems with long memory. Standard techniques for estimating EP become intractable in such…

Statistical Mechanics · Physics 2026-02-20 Miguel Aguilera , Sosuke Ito , Artemy Kolchinsky

Employing the stochastic wave function method, we study quantum features of stochastic entropy production in nonequilibrium processes of open systems. It is demonstarted that continuous measurements on the environment introduce an…

Quantum Physics · Physics 2013-10-16 B. Leggio , A. Napoli , A. Messina , H. -P. Breuer

Thermodynamic uncertainty relations (TURs) are the inequalities which give lower bounds on the entropy production rate using only the mean and the variance of fluctuating currents. Since the TURs do not refer to the full details of the…

Statistical Mechanics · Physics 2020-06-25 Shun Otsubo , Sosuke Ito , Andreas Dechant , Takahiro Sagawa

The rate of change of entropy $\dot S$ is measured for a system of particles floating on the surface of a fluid maintained in a turbulent steady state. The resulting coagulation of the floaters allows one to relate $\dot S$ to the velocity…

Chaotic Dynamics · Physics 2009-11-11 M. M. Bandi , W. I. Goldburg , J. R. Cressman

New theorems for the moments of the first passage time of one dimensional nonlinear stochastic processes with an entrance boundary are formulated. This important class of one dimensional stochastic processes results among others from…

Analysis of PDEs · Mathematics 2020-04-22 Leo Dostal , Navaratnam Sri Namachchivaya

For a colloidal particle driven by a constant force across a periodic potential, we investigate the distribution of entropy production both experimentally and theoretically. For short trajectories, the fluctuation theorem holds…

Statistical Mechanics · Physics 2009-11-13 T. Speck , V. Blickle , C. Bechinger , U. Seifert
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