Related papers: On the mean exit time from a ball for a symmetric …
The mean exit time function defined on the $\delta$-tube around any equator $\mathbb{S}^{n-1} \subseteq \mathbb{S}^{n}$ of the sphere $\mathbb{S}^{n}$, ($0<\delta<\pi/2$), goes to infinity with the dimension, so that when we consider a…
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to solutions to high-dimensional parabolic…
The probability that a max-stable process {\eta} in C[0, 1] with identical marginal distribution function F hits x \in R with 0 < F (x) < 1 is the hitting probability of x. We show that the hitting probability is always positive, unless the…
In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. This prevents the optimal exercise times…
We investigate the metastable behavior of the long-range Ising model on random regular graphs under Glauber dynamics at low-temperature. We estimate the energy barrier and exit time from the metastable state using a nontrivial path-wise…
We derive a general exact formula for the mean first passage time (MFPT) from a fixed point inside a planar domain to an escape region on its boundary. The underlying mixed Dirichlet-Neumann boundary value problem is conformally mapped onto…
The distribution of exit times is computed for a Brownian particle in spherically symmetric two- dimensional domains (disks, angular sectors, annuli) and in rectangles that contain an exit on their boundary. The governing partial…
We study the hitting times of Markov processes to target set $G$, starting from a reference configuration $x_0$ or its basin of attraction. The configuration $x_0$ can correspond to the bottom of a (meta)stable well, while the target $G$…
This paper is concerned with stability analysis and synthesis for discrete-time linear systems with stochastic dynamics. Equivalence is first proved for three stability notions under some key assumptions on the randomness behind the…
We establish general conditions under which there exists uniform in time convergence between a stochastic process and its approximated system. These standardised conditions consist of a local in time estimate between the original and the…
In this paper we investigate functions that are harmonic with respect to the non-symmetric strictly $\alpha$-stable L\'evy processes on an open set $D \in \mathbb{R}^d$. We obtain the explicit formula for their boundary decay rate at parts…
First-passage properties of continuous stochastic processes confined in a 1--dimensional interval are well described. However, for jump processes (discrete random walks), the characterization of the corresponding observables remains…
Kesten's stochastic recurrent equation is a classical subject of research in probability theory and its applications. Recently, it has garnered attention as a model for stochastic gradient descent with a quadratic objective function and the…
Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem. With the sampling…
Using martingale theory, we compute, in very few lines, exact analytical expressions for various first-exit-time statistics associated with one-dimensional biased diffusion. Examples include the distribution for the first-exit time from an…
In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an integration by parts formula for the first exit time of…
This paper investigates the model for pedestrian flow firstly proposed in [Cristiani et al., DOI:10.1137/140962413]. The model assumes that each individual in the crowd moves in a known domain, aiming at minimizing a given cost functional.…
The wavefunction of a single spin system in a prepared initial state evolves to equilibrium with a heat bath. The average spin $$q(t) = p_{\uparrow}(t) - p_{\downarrow}(t)$$ exhibits a characteristic time for this evolution. With the proper…
We consider the continuous-time setting of linear time-invariant (LTI) systems in feedback with multiplicative stochastic uncertainties. The objective of the paper is to characterize the conditions of Mean-Square Stability (MSS) using a…
This paper deals with the spherically symmetric flow of compressible viscous and polytropic ideal fluid in unbounded domain exterior to a ball in $\mathbb{R}^n$ with $n\ge2$. We show that the global solutions are convergent as time goes to…