Related papers: Classical first passage problems for $p$-adic stoc…
Consider the inverse first-passage problem: Given a diffusion process $\{\frak{X}_{t}\}_{t\geqslant 0}$ on a probability space $(\Omega,\mathcal{F},\mathbb{P})$ and a survival probability function $p$ on $[0,\infty)$, find a boundary,…
Random walks, and in particular, their first passage times, are ubiquitous in nature. Using direct enumeration of paths, we find the first return time distribution of a 1D random walker, which is a heavy-tailed distribution with infinite…
We obtain the first passage time density for a L\'{e}vy flight random process from a subordination scheme. By this method, we infer the asymptotic behavior directly from the Brownian solution and the Sparre Andersen theorem, avoiding…
Let {X_n,n\geq0} be a Markov chain on a general state space X with transition probability P and stationary probability \pi. Suppose an additive component S_n takes values in the real line R and is adjoined to the chain such that…
We consider the Markov random flight $\bold X(t), \; t>0,$ in the three-dimensional Euclidean space $\Bbb R^3$ with constant finite speed $c>0$ and the uniform choice of the initial and each new direction at random time instants that form a…
To describe the nonequilibrium states of a system we introduce a new thermodynamic parameter - the lifetime (the first passage time) of a system. The statistical distributions that can be obtained out of the mesoscopic description…
We study an inverse first-passage-time problem for Wiener process $X(t)$ subject to hold and jump from a boundary $c.$ Let be given a threshold $S>X(0) \ge c,$ and a distribution function $F$ on $[0, + \infty ).$ The problem consists in…
In this paper, we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. Namely, we show that, under broad assumptions, the first…
We investigate the accuracy of the recently proposed nonclassical transport equation. This equation contains an extra independent variable compared to the classical transport equation (the path-length $s$), and models particle transport…
We present a first numerical investigation of the accuracy of the recently proposed {\em non-classical transport equation}. This equation contains an extra independent variable (the path-length $s$), and models particle transport taking…
We investigate the fluctuations of the time elapsed until the electric charge transferred through a conductor reaches a given threshold value. For this purpose, we measure the distribution of the first-passage times for the net number of…
The time until the failure of some node of the system or until the end of some stage of the operation of the tribological system is associated with the change in entropy in the system that occurs during this time. Methods of the…
For a class of piecewise deterministic Markov processes we introduce a stochastic calculus which is a certain non-Gaussian counterpart to the classical Malliavin calculus. As an application we investigate the regularity of densities of…
A random walk problem with particles on discrete double infinite linear grids is discussed. The model is based on the work of Montroll and others. A probability connected with the problem is given in the form of integrals containing…
In this paper we study some aspects of search for an immobile target by a swarm of N non-communicating, randomly moving searchers (numbered by the index k, k = 1, 2,..., N), which all start their random motion simultaneously at the same…
We consider the fluctuations of a time-integrated particle current around an atypical value in a generic stochastic Markov process involving classical particles with two-site interaction and hardcore repulsion on a finite one-dimensional…
We consider an elementary model for self-organised criticality, the activated random walk on the complete graph. We introduce a discrete time Markov chain as follows. At each time step, we add an active particle at a random vertex and let…
We study the first passage statistics to adsorbing boundaries of a Brownian motion in bounded two-dimensional domains of different shapes and configurations of the adsorbing and reflecting boundaries. From extensive numerical analysis we…
Physical notions of stochastic resonance for potential diffusions in periodically changing double-well potentials such as the spectral power amplification have proved to be defective. They are not robust for the passage to their effective…
The waiting time distribution (WTD) is a common tool for analysing discrete stochastic processes in classical and quantum systems. However, there are many physical examples where the dynamics is continuous and only approximately discrete,…