Related papers: First-passage functionals for Ornstein Uhlenbeck p…
The first-passage time (FPT) of a stochastic signal to a threshold is a fundamental observable across physics, biology, and finance. While renewal shot noise is a canonical model for such signals, analytical results for its FPT have…
The strategy of stochastic resetting is known to expedite the first passage to a target, in diffusive systems. Consequently, the mean first passage time is minimized at an optimal resetting parameter. With Poisson resetting, vanishing…
Stochastic systems that undergo random restarts to their initial state have been widely investigated in recent years, both theoretically and in experiments. Oftentimes, however, resetting to a fixed state is impossible due to thermal noise…
First-passage phenomena play a fundamental role in classical stochastic processes. We here exactly solve a quantum first-passage time problem for quantum diffusion driven by measurement noise, a generalization of classical Brownian motion.…
The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine the numerical solution of this problem in the case of a two…
This is a brief review on Brownian functionals in one dimension and their various applications, a contribution to the special issue ``The Legacy of Albert Einstein" of Current Science. After a brief description of Einstein's original…
We study the diffusive motion of a test particle in a two-dimensional comb structure consisting of a main backbone channel with continuously distributed side branches, in the presence of stochastic Markovian resetting to the initial…
We study the large deviations of the power injected by the active force for an Active Ornstein-Uhlenbeck Particle (AOUP), free or in a confining potential. For the free-particle case, we compute the rate function analytically in…
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and…
We investigate the first passage statistics of active continuous time random walks with Poissonian waiting time distribution on a one dimensional infinite lattice and a two dimensional infinite square lattice. We study the small and large…
We consider a Brownian particle confined by an external potential and subject to stochastic resetting to the origin. Motivated by the repetitive nature of the dynamics, we describe the process as a thermodynamic cycle of thermal expansion…
Evaluating the completion time of a random algorithm or a running stochastic process is a valuable tip not only from a purely theoretical, but also pragmatic point of view. In the formal sense, this kind of a task is specified in terms of…
We review and extend recent developments on the statistical properties of Active Ornstein Uhlenbeck particles (AOUPs). In this simplest of models, the Gaussian white noise of overdamped Brownian colloids is replaced by a Gaussian colored…
This study investigates the first passage time (FPT) properties of particles with a broad class of positive stochastic diffusion coefficients (DCs), representing diffusion in heterogeneous environments or of particles with conformational…
The first passage is a generic concept for quantifying when a random quantity such as the position of a diffusing molecule or the value of a stock crosses a preset threshold (target) for the first time. The last decade saw an enlightening…
For transport processes in geometrically restricted domains, the mean first-passage time (MFPT) admits a general scaling dependence on space parameters for diffusion, anomalous diffusion, and diffusion in disordered or fractal media. For…
We study the first-passage time (FPT) problem for widespread recurrent processes in confined though large systems and present a comprehensive framework for characterizing the FPT distribution over many time scales. We find that the FPT…
We introduce an extended version of the fractional Ornstein-Uhlenbeck (FOU) process where the integrand is replaced by the exponential of an independent L\'evy process. We call the process the generalized fractional Ornstein-Uhlenbeck…
We study a generalization of the Brownian bridge as a stochastic process that models the position and velocity of inertial particles between the two end-points of a time interval. The particles experience random acceleration and are assumed…
Stochastic restarting is a strategy of starting anew. Incorporation of the resetting to the random walks can result in the decrease of the mean first passage time, due to the ability to limit unfavorably meandering, sub-optimal…