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The first passage time (FPT) problem is ubiquitous in many applications. In finance, we often have to deal with stochastic processes with jump-diffusion, so that the FTP problem is reducible to a stochastic differential equation with…
We examine the mean first passage time for a particle driven by highly correlated Gaussian fluctuations to reach one or more predetermined boundaries. We discuss a numerical algorithm to generate power-law correlated fluctuations and apply…
We use the mean exit time to quantify macroscopic dynamical behaviors of stochastic dynamical systems driven by tempered L\'evy fluctuations, which are solutions of nonlocal elliptic equations. Firstly, we construct a new numerical scheme…
The two-dimensional backward Fokker-Planck equation is used to calculate the mean first-passage times (MFPTs) of the magnetic moment of a nanoparticle driven by a rotating magnetic field. It is shown that a magnetic field that is rapidly…
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…
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…
We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major…
We develop novel numerical methods and perturbation approaches to determine the mean first passage time (MFPT) for a Brownian particle to be captured by either small stationary or mobile traps inside a bounded 2-D confining domain. Of…
The timescales of many physical, chemical, and biological processes are determined by first passage times (FPTs) of diffusion. The overwhelming majority of FPT research studies the time it takes a single diffusive searcher to find a target.…
Understanding excitation and charge transfer in disordered media is a significant challenge in chemistry, biophysics and material science. We study two experimentally-relevant measures for carriers transfer in finite-size chains, the…
We study the first passage time (FPT) problem in Levy type of anomalous diffusion. Using the recently formulated fractional Fokker-Planck equation, we obtain an analytic expression for the FPT distribution which, in the large passage time…
We study the first-passage-time (FPT) properties of an active Brownian particle under stochastic resetting to its initial configuration, comprising its position and orientation, to reach an absorbing wall in two dimensions. Coupling a…
We determine the rate of escape from a potential well, and the diffusion coefficient in a periodic potential, of a random walker that moves under the influence of the potential in between successive collisions with the heat bath. In the…
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…
Kramers escape rate in the overdamped systems with the power-law distribution is studied. By using the mean first passage time, we derive the escape rate for the power-law distribution and obtain the Kramers' infinite barrier escape rate in…
The first-passage time (FPT), defined as the time a random walker takes to reach a target point in a confining domain, is a key quantity in the theory of stochastic processes. Its importance comes from its crucial role to quantify the…
We consider the exit event from a metastable state for the overdamped Langevin dynamics $dX_t = -\nabla f(X_t) dt + \sqrt{h} dB_t$. Using tools from semiclassical analysis, we prove that, starting from the quasi stationary distribution…
We study the model of a biaxial single ferromagnetic spin Hamiltonian with an external magnetic field applied along the medium axis. The phase transition of the escape rate is investigated. Two different but equivalent methods are…
The first-passage time (FPT) is the time it takes a system variable to cross a given boundary for the first time. In the context of Markov networks, the FPT is the time a random walker takes to reach a particular node (target) by hopping…
We study the distribution of first passage time (FPT) in Levy type of anomalous diffusion. Using recently formulated fractional Fokker-Planck equation we obtain three results. (1) We derive an explicit expression for the FPT distribution in…