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This paper is an overview of the classical level crossing problem which is studied extensively in the literature and is fundamental in many branches of applied probability. We discuss a number of approximations with an emphasis on their…
We derive a functional equation for the mean first-passage time (MFPT) of a generic self-similar Markovian continuous process to a target in a one-dimensional domain and obtain its exact solution. We show that the obtained expression of the…
We develop a method based on martingales to study first-passage problems of time-additive observables exiting an interval of finite width in a Markov process. In the limit that the interval width is large, we derive generic expressions for…
We consider stochastic systems involving general -- non-Gaussian and asymmetric -- stable processes. The random quantities, either a stochastic force or a waiting time in a random walk process, explicitly depend on the position. A…
We study chaos and L\'evy flights in the general gravitational three-body problem. We introduce new metrics to characterize the time evolution and final lifetime distributions, namely Scramble Density $\mathcal{S}$ and the LF index…
After a short excursion from discovery of Brownian motion to the Richardson "law of four thirds" in turbulent diffusion, the article introduces the L\'{e}vy flight superdiffusion as a self-similar L\'{e}vy process. The condition of…
One-dimensional non-equilibrium models of particles subjected to a coagulation-diffusion process are important in understanding non-equilibrium dynamics, and fluctuation-dissipation relation. We consider in this paper transport properties…
We study a first passage time of a L\'evy process over a positive constant level. In the spectrally negative case we give conditions for absolutely continuity of the distributions of the first passage times. The tail asymptotics of their…
The quantum first-detection problem concerns the statistics of the time at which a system, subject to repeated measurements, is observed in a prescribed target state for the first time. Unlike its classical counterpart, the measurement back…
The waiting time distribution has, in recent years, proven to be a useful statistical tool for characterising transport in nanoscale quantum transport. In particular, as opposed to moments of the distribution of transferred charge, which…
We revisit the problem of Brownian diffusion with drift in order to study finite-size effects in the geometric Galton-Watson branching process. This is possible because of an exact mapping between one-dimensional random walks and geometric…
How long a stochastic process survives before leaving a domain depends not only on its intrinsic dynamics but also on how it is observed. Classical first-passage theory assumes continuous monitoring with absorbing boundaries…
Probabilistic interpretation of transition from the dispersive transport regime to the quasi-Gaussian one in disordered semiconductors is given in terms of truncated Levy distributions. Corresponding transport equations with fractional…
Understanding the space-time features of how a L\'evy process crosses a constant barrier for the first time, and indeed the last time, is a problem which is central to many models in applied probability such as queueing theory, financial…
New theorems for the moments of the first passage time of one dimensional nonlinear stochastic processes with an entrance boundary are formulated. This important class of one dimensional stochastic processes results among others from…
This article studies the dynamics of a nonlinear dissipative reaction-diffusion equation with well-separated stable states which is perturbed by infinite-dimensional multiplicative L\'evy noise with a regularly varying component at…
A continuous Markovian model for truncated Levy random walks is proposed. It generalizes the approach developed previously by Lubashevsky et al. Phys. Rev. E 79, 011110 (2009); 80, 031148 (2009), Eur. Phys. J. B 78, 207 (2010) allowing for…
A numerical and analytical study of the role of exponentially truncated L\'evy flights in the superdiffusive propagation of fronts in reaction-diffusion systems is presented. The study is based on a variation of the Fisher-Kolmogorov…
This article introduces two techniques for computing the distribution of the absorption or first passage time of the drifted Wiener diffusion subject to Poisson resetting times, to an upper hard wall barrier and to a lower absorbing…
We uncover a duality between relaxation and first passage processes in ergodic reversible Markovian dynamics in both discrete and continuous state-space. The duality exists in the form of a spectral interlacing -- the respective time scales…