相关论文: First Passage Densities and Boundary Crossing Prob…

In this paper, we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. Namely, we show that, under broad assumptions, the first…

We consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit…

We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of…

The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially…

Evaluating the completion time of a random algorithm or a running stochastic process is a valuable tip not only from a purely theoretical, but also pragmatic point of view. In the formal sense, this kind of a task is specified in terms of…

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…

We investigate the statistics of encounters of a diffusing particle with different subsets of the boundary of a confining domain. The encounters with each subset are characterized by the boundary local time on that subset. We extend a…

We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for…

We consider a bivariate diffusion process and we study the first passage time of one component through a boundary. We prove that its probability density is the unique solution of a new integral equation and we propose a numerical algorithm…

The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following…

The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by…

Given a two-dimensional correlated diffusion process, we determine the joint density of the first passage times of the process to some constant boundaries. This quantity depends on the joint density of the first passage time of the first…

Recently a general growth curve including the well known growth equations, such as Malthus, logistic, Bertallanfy, Gompertz, has been studied. We now propose two stochastic formulations of this growth equation. They are obtained starting…

The first passage time for a single diffusing particle has been studied extensively, but the first passage time of a system of many diffusing particles, as is often the case in physical systems, has received little attention until recently.…

The inverse first-passage time problem determines a boundary such that the first-passage time of a Wiener process to this boundary has a given distribution. An approximation which is based on the starting value of the boundary to a smooth…

Consider a one dimensional diffusion process on the diffusion interval $I$ originated in $x_0\in I$. Let $a(t)$ and $b(t)$ be two continuous functions of $t$, $t>t_0$ with bounded derivatives and with $a(t)<b(t)$ and $a(t),b(t)\in I$,…

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…

We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…

We calculate the first passage time distribution for diffusion through a cylindrical pore with sticky walls. A particle diffusively explores the interior of the pore through a series of binding and unbinding events with the cylinder wall.…

We investigate how confinement may drastically change both the probability density of the first-encounter time and the related survival probability in the case of two diffusing particles. To obtain analytical insights into this problem, we…