相关论文: First passage times and distances along critical c…

Continuous time random walk (CTRW) subdiffusion along with the associated fractional Fokker-Planck equation (FFPE) is traditionally based on the premise of random clock with divergent mean period. This work considers an alternative CTRW and…

We consider a Brownian particle diffusing in a one dimensional interval with absorbing end points. We study the ramifications when such motion is interrupted and restarted from the same initial configuration. We provide a comprehensive…

Chaotic deterministic dynamics of a particle can give rise to diffusive Brownian motion. In this paper, we compute analytically the diffusion coefficient for a particular two-dimensional stochastic layer induced by the kicked Harper map.…

The first passage time density of a diffusion process to a time varying threshold is of primary interest in different fields. Here we consider a Brownian motion in presence of an exponentially decaying threshold to model the neuronal…

Here we show that a coherent random walk in a perfectly periodic chain of bosonic modes with designed loss can exhibit a variety of different anomalous transfer regimes in dependence on the initial state of the chain. In particular, for any…

We establish asymptotic diffusion limits of the non-classical transport equation derived in [E. W. Larsen, A generalized Boltzmann equation for non-classical particle transport, Joint international topical meeting on mathematics &…

Applications of first passage times in stochastic processes arise across a wide range of length and time scales in biological settings. After an initial technical overview, we survey representative applications and their corresponding…

Moving boundary problems allow to model systems with phase transition at an inner boundary. Driven by problems in economics and finance, in particular modeling of limit order books, we consider a stochastic and non-linear extension of the…

In stochastic resonance, a periodically forced Brownian particle in a double-well potential jumps between minima at rare increments, the prediction of which poses a major theoretical challenge. Here, we use a path-integral method to find a…

We disclose the origin of anisotropic percolation perimeters in terms of the Stochastic Loewner Evolution (SLE) process. Precisely, our results from extensive numerical simulations indicate that the perimeters of multi-layered and directed…

Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…

We derive a Sturm-Liouville system of equations for the exact calculation of the survival probability in first-passage time problems. This system is the one associated with the Wiener-Hopf integral equation obtained from the theory of…

We study the first-passage properties of a random walk in the unit interval in which the length of a single step is uniformly distributed over the finite range [-a,a]. For a of the order of one, the exit probabilities to each edge of the…

We present a model of diffusion in heterogeneous environment, which qualitatively reflects the transport properties of a polymeric membrane with carbon nanotubes. We derived Fokker-Planck equation from system of stochastic equations,…

In classical diffusion, particle step-sizes have a Gaussian distribution. However, in superdiffusion, they have power-law tails, with transport dominated by rare, long L\'evy flights. Similarly, if the time interval between scattering…

We consider the problem of stochastic flow of multiple particles traveling on a closed loop, with a constraint that particles move without passing. We use a Markov chain description that reduces the problem to a generalized random walk on a…

The trajectories of diffusion processes are continuous but non-differentiable, and each occurs with vanishing probability. This introduces a gap between theory, where path probabilities are used in many contexts, and experiment, where only…

Conventional approaches for simulating steady-state distributions of particles under diffusive and advective transport at high P\'eclet numbers involve solving the diffusion and advection equations in at least two dimensions. Here, we…

Though classical random walks have been studied for many years, research concerning their quantum analogues, quantum random walks, has only come about recently. Numerous simulations of both types of walks have been run and analyzed, and are…

Transport properties of three-dimensional self-affine rough fractures are studied by means of an effective-medium analysis and numerical simulations using the Lattice-Boltzmann method. The numerical results show that the effective-medium…