Related papers: First hitting time and place, monopoles and multip…

Consider the high-order heat-type equation $\partial u/\partial t=\pm \partial^N u/\partial x^N$ for an integer $N>2$ and introduce the related Markov pseudo-process $(X(t))_{t\ge 0}$. In this paper, we study the sojourn time $T(t)$ in the…

Fix an integer n>2 and let $(X(t))_{t\ge 0}$ be the pseudo-process driven by the high-order heat-type equation $\partial/\partial t=\pm\partial^N/\partial x^N$. The denomination "pseudo-process" means that $(X(t))_{t\ge 0}$ is related to a…

Let $N$ be a positive integer. We consider pseudo-Brownian motion $X=(X(t))_{t\ge 0}$ driven by the high-order heat-type equation $\partial/\partial t=(-1)^{N-1}\partial^{2N}/\partial x^{2N}$. Let us introduce the first exit time {\tau}ab…

This paper is concerned with the analysis of blow-ups for two McKean-Vlasov equations involving hitting times. Let $(B(t); \, t \ge 0)$ be standard Brownian motion, and $\tau:= \inf\{t \ge 0: X(t) \le 0\}$ be the hitting time to zero of a…

For any two-sided jumping $\alpha$-stable process, where $1 < \alpha < 2$, we find an explicit identity for the law of the first hitting time of the origin. This complements existing work in the symmetric case and the spectrally one-sided…

We study here a heat-type differential equation of order n greater than two, in the case where the time-derivative is supposed to be fractional. The corresponding solution can be described as the transition function of a pseudoprocess…

For real-valued additive process $(X\_t)\_{t\geq 0}$ a recursive equation is derived for the entire positive moments of functionals $$I\_{s,t}= \int \_s^t\exp(-X\_u)du, \quad 0\leq s<t\leq\infty, $$ in case the Laplace exponent of $X\_t$…

For each $n\geq 1$, let $ {X_{in}, \quad i \geq 1} $ be independent copies of a nonnegative continuous stochastic process $X_{n}=(X_n(t))_{t\in T}$ indexed by a compact metric space $T$. We are interested in the process of partial maxima…

This paper analyzes the dynamics of a level-dependent quasi-birth-death process ${\cal X}=\{(I(t),J(t)): t\geq 0\}$, i.e., a bi-variate Markov chain defined on the countable state space $\cup_{i=0}^{\infty} l(i)$ with $l(i)=\{(i,j) :…

We consider high-order stochastic processes $x(t)$ described by the Langevin equation $\frac{{{d^m}x\left( t \right)}}{{d{t^m}}}= \sqrt{2D} \xi(t)$, where $\xi(t)$ is a delta-correlated Gaussian noise with zero mean, and $D$ is the strength…

New algorithms for computing power moments of hitting times and accumulated rewards of hitting type for semi-Markov processes. The algorithms are based on special techniques of sequential phase space reduction and recurrence relations…

In a specific class of open quantum systems with finite and fixed numbers of collapsed quantum states, the semi-Markov process method is used to calculate the large deviations of the first passage time statistics. The core formula is an…

The Semi-Markov property of Continuous Time Random Walks (CTRWs) and their limit processes is utilized, and the probability distributions of the bivariate Markov process $(X(t),V(t))$ are calculated: $X(t)$ is a CTRW limit and $V(t)$ a…

We consider discrete time dynamical systems and show the link between Hitting Time Statistics (the distribution of the first time points land in asymptotically small sets) and Extreme Value Theory (distribution properties of the partial…

In this paper we study the approximation of the distribution of $X_t$ Hilbert--valued stochastic process solution of a linear parabolic stochastic partial differential equation written in an abstract form as $$ dX_t+AX_t dt = Q^{1/2} d W_t,…

We consider sequences $(X_t^N)_{t\geq0}$ of Markov processes in two dimensions whose fluid limit is a stable solution of an ordinary differential equation of the form $\dot{x}_t=b(x_t)$, where $b(x)={\pmatrix{-\mu 0 0 \lambda}}x+\tau(x)$…

In this paper we construct pseudo random walks (symmetric and asymmetric) which converge in law to compositions of pseudoprocesses stopped at stable subordinators. We find the higher-order space-fractional heat-type equations whose…

We study the existence and behaviour of blowing-up solutions to the fully fractional heat equation $$ \mathcal{M} u=u^p,\qquad x\in\mathbb{R}^N,\;0<t<T $$ with $p>0$, where $\mathcal{M}$ is a nonlocal operator given by a space-time kernel…

Starting from the overdamped Langevin dynamics in $\mathbb{R}^n$, $$ dX_t = -\nabla V(X_t) dt + \sqrt{2 \beta^{-1}} dW_t, $$ we consider a scalar Markov process $\xi_t$ which approximates the dynamics of the first component $X^1_t$. In the…

For the fundamental solutions of heat-type equations of order $n$ we give a general stochastic representation in terms of damped oscillations with generalized gamma distributed parameters. By composing the pseudo-process $X_n$ related to…