Related papers: A pursuit problem for squared Bessel processes
In this article, we consider joint returns to zero of $n$ Bessel processes ($n\geq 2$): our main goal is to estimate the probability that they avoid having joint returns to zero for a long time. More precisely, considering $n$ independent…
The asymptotic survival probability of a spherical target in the presence of a single subdiffusive trap or surrounded by a sea of subdiffusive traps in a continuous Euclidean medium is calculated. In one and two dimensions the survival…
We consider an ergodic process on finitely many states, with positive entropy. Our first main result asserts that the distribution function of the normalized waiting time for the first visit to a small (i.e., over a long block) cylinder set…
We consider one dimensional random walks in random environment where every time the process stays at a location, it dies with a fixed probability. Under some mild assumptions it is easy to show that the survival probability goes to zero as…
We study the probability $p \equiv p_\eta(t)$ that two directed polymers in a given random potential $\eta$ and with fixed and nearby endpoints, do not cross until time $t$. This probability is itself a random variable (over samples $\eta$)…
We present a survey of some of our recent results on Bayesian nonparametric inference for a multitude of stochastic processes. The common feature is that the prior distribution in the cases considered is on suitable sets of piecewise…
There are many physical processes that have inherent discontinuities in their mathematical formulations. This paper is motivated by the specific case of collisions between two rigid or deformable bodies and the intrinsic nature of that…
In this paper, we investigate the crossing statistics of speckle patterns formed in Fresnel diffraction region by a laser beam scattering through a nanofluid. We extend $zero-crossing$ statistics to assess dynamical properties of nanofluid.…
This paper stidies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the…
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…
The spatial symmetry property of truncated birth-death processes studied in Di Crescenzo [6] is extended to a wider family of continuous-time Markov chains. We show that it yields simple expressions for first-passage-time densities and…
We find asymptotic formulas for error probabilities of two-fold Pearson goodness-of-fit test as functions of two critical levels. These results may be reformulated in terms of tails of two-dimensional distributions of the Bessel process.…
The classical Skorokhod embedding problem for a Brownian motion $W$ asks to find a stopping time $\tau$ so that $W_\tau$ is distributed according to a prescribed probability distribution $\mu$. Many solutions have been proposed during the…
On the complete graph ${\cal{K}}_M$ with $M \ge3$ vertices consider two independent discrete time random walks $\mathbb{X}$ and $\mathbb{Y}$, choosing their steps uniformly at random. A pair of trajectories $\mathbb{X} = \{ X_1, X_2, \dots…
In this paper we study the time evolution of the decay process for a particle confined initially in a finite region of space, extending our analysis given recently (Phys. Rev. Lett. 74, 337 (1995)). For this purpose, we solve exactly the…
Consider an i.i.d. sample from an unknown density function supported on an unknown manifold embedded in a high dimensional Euclidean space. We tackle the problem of learning a distance between points, able to capture both the geometry of…
We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process…
In this paper, we study invariant Poisson processes of lines (i.e, bi-infinite geodesics) in the $3$-regular tree. More precisely, there exists a unique (up to multiplicative constant) locally finite Borel measure on the space of lines that…
The problem of searching for $L$ anomalous processes among $M$ processes is considered. At each time, the decision maker can observe a subset of $K$ processes (i.e., multiple plays). The measurement drawn when observing a process follows…
The dynamics of passive Brownian tracer particles in steady two-dimensional potential flows between sources and sinks is investigated. The first-passage probability, $p(t)$, exhibits power-law decay with a velocity-dependent exponent in…