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We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…

Statistical Finance · Quantitative Finance 2010-03-25 Jaume Masoliver , Josep Perello

We investigate a diffusive motion of a system of interacting Brownian particles in quasi-one-dimensional micropores. In particular, we consider a semi-infinite 1D geometry with a partially absorbing boundary and the hard-core inter-particle…

Statistical Mechanics · Physics 2012-03-06 Artem Ryabov , Petr Chvosta

Single-file diffusion refers to the Brownian motion in narrow channels where particles cannot pass each other. In such processes, the diffusion of a tagged particle is typically normal at short times and becomes subdiffusive at long times.…

Statistical Mechanics · Physics 2026-02-23 Sören Schweers , Alexander P. Antonov , Artem Ryabov , Philipp Maass

A particle with internal unobserved states diffusing in a force field will generally display effective advection-diffusion. The drift velocity is proportional to the mobility averaged over the internal states, or effective mobility, while…

Statistical Mechanics · Physics 2017-10-13 Erik Aurell , Stefano Bo

Over the past few years the displacement statistics of self-propelled particles has been intensely studied, revealing their long-time diffusive behavior. Here, we demonstrate that a concerted combination of boundary conditions and switching…

Soft Condensed Matter · Physics 2015-05-29 Andreas M. Menzel

The self-diffusion process of a hard sphere fluid confined by two parallel plates separated by a distance on the order of the particle diameter is studied. The starting point is a closed kinetic equation for the distribution function that…

Statistical Mechanics · Physics 2025-10-24 Manuel Mayo , María Isabel García de Soria , Pablo Maynar , José Javier Brey

Multistable coupled map lattices typically support travelling fronts, separating two adjacent stable phases. We show how the existence of an invariant function describing the front profile, allows a reduction of the infinitely-dimensional…

chao-dyn · Physics 2009-10-31 R. Carretero-González , D. K. Arrowsmith , F. Vivaldi

We present a formalism for obtaining the statistical properties of functionals and inverse functionals of the paths of a particle diffusing in a one-dimensional quenched random potential. We demonstrate the implementation of the formalism…

Statistical Mechanics · Physics 2007-05-23 Sanjib Sabhapandit , Satya N. Majumdar , Alain Comtet

In this paper, we view fluctuating fronts made of particles on a one-dimensional lattice as an extreme value problem. The idea is to denote the configuration for a single front realization at time $t$ by the set of co-ordinates…

Statistical Mechanics · Physics 2007-05-23 Debabrata Panja

We study two new models of two particle species invading a surface from opposite sides. Collisions of particles of different species lead to the formation of congestion fronts. One of the models implements a reversible process whereas in…

Statistical Mechanics · Physics 2018-11-14 Bastian Burger , Hans J Herrmann

We consider the Halfin-Whitt diffusion process $X_d(t)$, which is used, for example, as an approximation to the $m$-server $M/M/m$ queue. We use recently obtained integral representations for the transient density $p(x,t)$ of this diffusion…

Probability · Mathematics 2015-05-06 Qiang Zhen , Charles Knessl

We consider the general problem of the first passage distribution of particles whose displacements are subject to time delays. We show that this problem gives rise to a \emph{propagation-dispersion equation} which is obtained as the…

Statistical Mechanics · Physics 2009-11-10 Jean Pierre Boon , Patrick Grosfils , James F. Lutsko

We study the transport properties of passive inertial particles in a $2-d$ incompressible flows. Here the particle dynamics is represented by the $4-d$ dissipative embedding map of $2-d$ area-preserving standard map which models the…

Chaotic Dynamics · Physics 2009-07-23 N. Nirmal Thyagu , Neelima Gupte

This paper is concerned with spreading properties of space-time heterogeneous Fisher--KPP equations in one space dimension. We focus on the case of everywhere favorable environment with three different zones, a left half-line with slow or…

Analysis of PDEs · Mathematics 2025-11-07 Thomas Giletti , Léo Girardin , Hiroshi Matano

The dynamics of flame propagation in systems with infinite Lewis number and spatially discretized sources of heat release is examined, which is applicable to the combustion of suspensions of fuel particles in air. The system is analyzed…

Fluid Dynamics · Physics 2016-06-14 XiaoCheng Mi , Andrew J. Higgins , Samuel Goroshin , Jeffrey M. Bergthorson

We derive and study a theoretical description for single file diffusion, i.e., diffusion in a one dimensional lattice of particles with hard core interaction. It is well known that for this system a tagged particle has anomalous diffusion…

Statistical Mechanics · Physics 2013-10-08 Gonzalo Suárez , Miguel Hoyuelos , Héctor O. Mártin

A rapidly increasing number of systems is identified in which the stochastic motion of tracer particles follows the Brownian law $\langle\mathbf{r}^2(t) \rangle\simeq Dt$ yet the distribution of particle displacements is strongly…

Statistical Mechanics · Physics 2019-01-30 V. Sposini , A. V. Chechkin , R. Metzler

We propose a generalized diffusion equation for a flat Euclidean space subjected to a continuous infinitesimal scale transform. For the special cases of an algebraic or exponential expansion/contraction, governed by time-dependent scale…

Statistical Mechanics · Physics 2018-04-17 Manuel Schrauth , Maximilian Schneider

Super-diffusion, characterized by a spreading rate $t^{1/\alpha}$ of the probability density function $p(x,t) = t^{-1/\alpha} p \left( t^{-1/\alpha} x , 1 \right)$, where $t$ is time, may be modeled by space-fractional diffusion equations…

Statistical Mechanics · Physics 2019-02-20 James F. Kelly , Mark M. Meerschaert

We study a minimal model of active transport in crowded single-file environments which generalises the emblematic model of single file diffusion to the case when the tracer particle (TP) performs either an autonomous directed motion or is…

Statistical Mechanics · Physics 2013-03-13 P. Illien , O. Bénichou , C. Mejía-Monasterio , G. Oshanin , R. Voituriez
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