Related papers: First-passage functionals of Brownian motion in lo…

The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by…

The one-dimensional overdamped Brownian motion in a symmetric periodic potential modulated by external time-reversible noise is analyzed. The calculation of the effective diffusion coefficient is reduced to the mean first passage time…

Statistical properties of Brownian motion that arise by analyzing, separately, trajectories over which the system energy increases (upside) or decreases (downside) with respect to a threshold energy level, are derived. This selective…

We investigate first and second order fluctuations of additive functionals of a fractional Brownian motion (fBm) of the form \begin{align}\label{eq:abstractmain} Z_n=\left\{\int_{0}^{t}f(n^{H}(B_{s}-\lambda))ds\ ; t\geq 0 \right\}…

Biased lattice random walks (BLRW) are used to model random motion with drift in a variety of empirical situations in engineering and natural systems such as phototaxis, chemotaxis or gravitaxis. When motion is also affected by the presence…

The long-time/large-scale, small-friction asymptotic for the one dimensional Langevin equation with a periodic potential is studied in this paper. It is shown that the Freidlin-Wentzell and central limit theorem (homogenization) limits…

Be $X_t$ a random process starting at $x \in [0,1]$ with absorbing boundary conditions at both ends of the interval. Denote $P_1(x)$ the probability to first exit at the upper boundary. For Brownian motion, $P_1(x)=x$, equivalent to…

Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first…

Let $B=\{ B_{t}\} _{t\ge 0}$ be a one-dimensional standard Brownian motion. As an application of a recent result of ours on exponential functionals of Brownian motion, we show in this paper that, for every fixed $t>0$, the process given by…

Single-file diffusion behaves as normal diffusion at small time and as anomalous subdiffusion at large time. These properties can be described by fractional Brownian motion with variable Hurst exponent or multifractional Brownian motion. We…

We investigate a tight binding quantum walk on a graph. Repeated stroboscopic measurements of the position of the particle yield a measured "trajectory", and a combination of classical and quantum mechanical properties for the walk are…

We consider the dynamics of lattice random walks with resetting. The walker moving randomly on a lattice of arbitrary dimensions resets at every time step to a given site with a constant probability $r$. We construct a discrete renewal…

We use a first-passage time approach to study the statistics of the trapping times induced by persistent motion of active particles colliding with flat boundaries. The angular first-passage time distribution and mean first-passage time is…

Anomalous diffusion is an established phenomenon but still a theoretical challenge in non-equilibrium statistical mechanics. Physical models are built incrementally, and the most recent and most general family is based on the fractional…

We study a class of stochastic processes of the type $\frac{d^n x}{dt^n}= v_0\, \sigma(t)$ where $n>0$ is a positive integer and $\sigma(t)=\pm 1$ represents an `active' telegraphic noise that flips from one state to the other with a…

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…

In this paper, we consider a homogeneous Markov process \xi(t;\omega) on an ultrametric space Q_p, with distribution density f(x,t), x in Q_p, t in R_+, satisfying the ultrametric diffusion equation df(x,t)/dt =-Df(x,t). We construct and…

Diffusion in a multidimensional energy surface with minima and barriers is a problem of importance in statistical mechanics and also has wide applications, such as protein folding. To understand it in such a system, we carry out theory and…

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.…

Let $W$ be a standard Brownian motion with $W_0 = 0$ and let $b\colon[0,\infty) \to \mathbb{R}$ be a continuous function with $b(0) > 0$. In this article, we look at the classical First Passage Time (FPT) problem, i.e., the question of…