Related papers: A pursuit problem for squared Bessel processes
The first-exit time process of an inverse Gaussian L\'evy process is considered. The one-dimensional distribution functions of the process are obtained. They are not infinitely divisible and the tail probabilities decay exponentially. These…
Splitting probabilities quantify the likelihood of a given outcome out of competitive events. This key observable of random walk theory, historically introduced as the gambler's ruin problem, is well understood for memoryless (Markovian)…
This paper is a step in the direction of understanding the behavior of non-intersecting Brownian motions on the real line, when the number of particles becomes large. Consider 2k non-intersecting Brownian motions, all starting at the…
The greedy walk is a walk on a point process that always moves from its current position to the nearest not yet visited point. We consider here various point processes on two lines. We look first at the greedy walk on two independent…
The time to first crossing for the Poisson counting process with respect to a linear moving barrier with offset is a classic problem, although key results remain scattered across the literature and their equivalence is often unclear. Here…
The asymptotic analysis of high exceedance probabilities for Gaussian processes and fields has been a blooming research area since J. Pickands introduced the now-standard techniques in the late 60's. The \textit{vector-valued} processes,…
Persistence, defined as the probability that a fluctuating signal has not reached a threshold up to a given observation time, plays a crucial role in the theory of random processes. It quantifies the kinetics of processes as varied as phase…
In this paper we pursue and complete the study of the simulation of the hitting time of some given boundaries for Bessel processes. These problems are of great interest in many application fields as finance and neurosciences. In a previous…
In this contribution we derive an explicit formula for the boundary non-crossing probabilities for Slepian processes associated with the piecewise linear boundary function. This formula is used to develop an approximation formula to the…
This paper is concerned with the limit laws of the extreme order statistics derived from a symmetric Laplace walk. We provide two different descriptions of the point process of the limiting extreme order statistics: a branching…
We consider general continuum percolation models obeying sparseness, translation invariance, and spatial decorrelation. In particular, this includes models constructed on general point sets other than the standard Poisson point process or…
The purpose of the paper is to find explicit formulas describing the joint distributions of the first hitting time and place for half-spaces of codimension one for a diffusion in $\R^{n+1}$, composed of one-dimensional Bessel process and…
In this paper, we study Bessel processes of dimension $\delta\equiv2(1-\mu)$, with $0<\delta<2$, and some related martingales and random times. Our approach is based on martingale techniques and the general theory of stochastic processes…
We consider the sum of two self-similar centred Gaussian processes with different self-similarity indices. Under non-negativity assumptions of covariance functions and some further minor conditions, we show that the asymptotic behaviour of…
It is well-known that 0 is the absorbing state for a branching system. Each particle in the system lives a random long time and gives a random number of new particles at its death time. It stops when the system has no particle. This paper…
We prove for an arbitrary one-dimensional random walk with independent increments that the probability of crossing a level at a given time n has the order of square root of n. Moment or symmetry assumptions are not necessary. In removing…
In this work we consider time series with a finite number of discrete point changes. We assume that the data in each segment follows a different probability density functions (pdf). We focus on the case where the data in all segments are…
We investigate spatial random graphs defined on the points of a Poisson process in $d$-dimensional space, which combine scale-free degree distributions and long-range effects. Every Poisson point is assigned an independent weight. Given the…
Given a sample from a discretely observed compound Poisson process, we consider non-parametric estimation of the density $f_0$ of its jump sizes, as well as of its intensity $\lambda_0.$ We take a Bayesian approach to the problem and…
We prove a convergence theorem for a sequence of super-Brownian motions moving among hard Poissonian obstacles, when the intensity of the obstacles grows to infinity but their diameters shrink to zero in an appropriate manner. The…