Related papers: First Passage through a Continuous Barrier: Pathwi…
We consider a dynamical system undergoing a saddle-node bifurcation with an explicitly time dependent parameter~$p(t)$. The combined dynamics can be considered as a dynamical systems where $p$ is a slowly evolving parameter. Here, we…
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…
Consider a negatively drifted one dimensional Brownian motion starting at positive initial position, its first hitting time to 0 has the inverse Gaussian law. Moreover, conditionally on this hitting time, the Brownian motion up to that time…
We study an one-dimensional stochastic model of vehicular traffic on open segments of a single-lane road of finite size $L$. The vehicles obey a stochastic discrete-time dynamics which is a limiting case of the generalized Totally…
We study exit times from time-dependent domains under joint perturbations of the trajectory and the domain. Representing a moving domain by a continuous barrier $\Phi$ on space-time, we reduce the exit problem to a one-dimensional…
We consider first-passage percolation on the class of "high-dimensional" graphs that can be written as an iterated Cartesian product $G\square G \square \dots \square G$ of some base graph $G$ as the number of factors tends to infinity. We…
Extending discrete-time causal Prior-data Fitted Networks for time series to continuous time invites writing the mechanism as a stochastic differential equation (SDE) -- but if the SDE is integrated \emph{once per observation gap}, the…
Addressing the large inefficiencies generated by the Deferred Acceptance (DA) mechanism requires priority violations, but which ones are justifiable? The leading approach is to ask individuals if they consent to waive their priority…
We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L\'evy models. The random time-horizon is modeled as the so-called Omega default clock in insurance, which is the first…
In this paper, we investigate the well-posedness and the long-time asymptotic behavior for the initial-boundary value problem for multi-term time-fractional diffusion equations, where the time differentiation consists of a finite summation…
Analytic solutions to the time-dependent Schr\"odinger equation for cutoff wave initial conditions are used to investigate the time evolution of the transmitted probability density for tunneling. For a broad range of values of the potential…
Systems where resource availability approaches a critical threshold are common to many engineering and scientific applications and often necessitate the estimation of first passage time statistics of a Brownian motion (Bm) driven by…
For a multivariate random walk with i.i.d. jumps satisfying the Cramer moment condition and having a mean vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant…
We show that the vertex-reinforced jump process on the $d$-dimensional lattice with long-range jumps is transient in any dimension $d$ as long as the initial weights do not decay too fast. The main ingredients in the proof are: an analysis…
This paper considers a natural fault-tolerant shortest paths problem: for some constant integer $f$, given a directed weighted graph with no negative cycles and two fixed vertices $s$ and $t$, compute (either explicitly or implicitly) for…
We investigate the large deviation probabilities of first passage times (FPT) of discrete-time supercritical non-lattice branching random walks (BRWs) in $\mathbb{R}^d$ where $d\geq 1$. The FPT refers to the first time the BRW enters a ball…
General upper bounds on fluctuations of trajectory observables were recently obtained. It turned out that the size of fluctuations of dynamical observable is limited from below and from above. For the moment generating function of general…
We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the terminal value of a forward stochastic differential equation.…
Based on an optimal rate wavelet series representation, we derive a local modulus of continuity result with a refined almost sure upper bound for fractional Brownian motion. \sloppy The obtained upper bound of the small fractional Brownian…
A linear polymer grafted to a hard wall and underneath an AFM tip can be modelled in a lattice as a grafted lattice polymer (or self-avoiding walk) compressed underneath a piston approaching the wall. As the piston approaches the wall the…