Related papers: Approximate calculation of multidimensional first …
In this paper we analyze a L\'evy process reflected at a general (possibly random) barrier. For this process we prove Central Limit Theorem for the first passage time. We also give the finite-time first passage probability asymptotics.
In a deterministic world, a planning agent can be certain of the consequences of its planned sequence of actions. Not so, however, in dynamic, stochastic domains where Markov decision processes are commonly used. Unfortunately these suffer…
The narrow escape problem is a first-passage problem concerned with randomly moving particles in a physical domain, being trapped by absorbing surface traps (windows), such that the measure of traps is small compared to the domain size. The…
We investigate a moving boundary problem for a Brownian particle on the semi-infinite line in which the boundary moves by a distance proportional to the time between successive collisions of the particle and the boundary. Phenomenologically…
In two phase materials, each phase having a non-local response in time, it has been found that for some driving fields the response somehow untangles at specific times, and allows one to directly infer useful information about the geometry…
The final goal of this paper is to prove existence of local (strong) solutions to a (fully nonlinear) porous medium equation with blow-up term and nondecreasing constraint. To this end, the equation, arising in the context of Damage…
We provide a general framework to construct finite dimensional approximations of the space of convex functions, which also applies to the space of c-convex functions and to the space of support functions of convex bodies. We give estimates…
We survey recent results on first-passage processes in unbounded cones and their applications to ordering of particles undergoing Brownian motion in one dimension. We first discuss the survival probability S(t) that a diffusing particle, in…
The time-fractional diffusion equation is considered, where the time derivative is either of Caputo or Riemann-Liouville type. The solution of a general initial-boundary value problem with time-dependent boundary conditions over bounded and…
We consider a framework for the construction of iterative schemes for operator equations that combine low-rank approximation in tensor formats and adaptive approximation in a basis. Under fairly general assumptions, we obtain a rigorous…
In a recent article, Krapivsky and Redner (J. Stat. Mech. 093208 (2018)) established that the distribution of the first hitting times for a diffusing particle subject to hitting an absorber is independent of the direction of the external…
We consider the problem of approximating the reachability probabilities in Markov decision processes (MDP) with uncountable (continuous) state and action spaces. While there are algorithms that, for special classes of such MDP, provide a…
In this contribution, we present a novel approach for solving the obstacle problem for (linear) conservation laws. Usually, given a conservation law with an initial datum, the solution is uniquely determined. How to incorporate obstacles,…
This work proposes a sampling-based (non-intrusive) approach within the context of low-rank separated representations to tackle the issue of curse-of-dimensionality associated with the solution of models, e.g., PDEs/ODEs, with…
We consider the problem of bounding mean first passage times for a class of continuous-time Markov chains that captures stochastic interactions between groups of identical agents. The quantitative analysis of such probabilistic population…
Adsorption to a surface, reversible-binding, and trapping are all prevalent scenarios where particles exhibit "stickiness". Escape and first-passage times are known to be drastically affected, but detailed understanding of this phenomenon…
Dual first-order methods are powerful techniques for large-scale convex optimization. Although an extensive research effort has been devoted to studying their convergence properties, explicit convergence rates for the primal iterates have…
We are interested in the simulation of open quantum systems governed by the Lindblad master equation in an infinite-dimensional Hilbert space. To simulate the solution of this equation, the standard approach involves two sequential…
For a cell moving in hydrodynamic flow above a wall, translational and rotational degrees of freedom are coupled by the Stokes equation. In addition, there is a close coupling of convection and diffusion due to the position-dependent…
We consider a Markovian jumping process with two absorbing barriers, for which the waiting-time distribution involves a position-dependent coefficient. We solve the Fokker-Planck equation with boundary conditions and calculate the mean…