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

The presented explanations are provided for the one--dimensional diffusion process with constant drift by using forward Fokker--Planck technique. We are interested in the outflow probability in a finite interval, i.e. first passage time…

The first passage is a generic concept for quantifying when a random quantity such as the position of a diffusing molecule or the value of a stock crosses a preset threshold (target) for the first time. The last decade saw an enlightening…

Advection and dispersion in highly heterogeneous environments involving interfacial discontinuities in the corresponding drift and dispersion rates are described through disparate examples from the physical and biological sciences. A…

We investigate a moving boundary problem for a Brownian particle on the semi-infinite line in which the boundary moves by a distance proportional to the time between successive collisions of the particle and the boundary. Phenomenologically…

We consider the general problem of the first passage distribution of particles whose displacements are subject to time delays. We show that this problem gives rise to a \emph{propagation-dispersion equation} which is obtained as the…

Many problems in physics, biology, and economics depend upon the duration of time required for a diffusing particle to cross a boundary. As such, calculations of the distribution of first passage time, and in particular the mean first…

We propose a unifying theoretical framework for the analysis of first-passage time distributions in two important classes of stochastic processes in which the diffusivity of a particle evolves randomly in time. In the first class of…

We study the crossing time statistic of diffusing point particles between the two ends of expanding and narrowing two-dimensional conical channels under a transverse external gravitational field. The theoretical expression for the mean…

The Ornstein-Uhlenbeck process of diffusion in the harmonic potential is re-examined in the context of the first-passage time problem. We investigate this problem to the extent that it has not yet been fully resolved and demonstrate exact…

Let (Xt, t >= 0) be a diffusion process with jumps, sum of a Brownian motion with drift and a compound Poisson process. We consider T_x the first hitting time of a fixed level x > 0 by (Xt, t >= 0). We prove that the law of T_x has a…

In this paper, we develop a Monte Carlo based algorithm for estimating the FPT density of a time-homogeneous SDE through a time-dependent frontier. We consider Brownian bridges as well as localized Daniels curve approximations to obtain…

We study the diffusion process in the presence of stochastic resetting inside a two-dimensional wedge of top angle $\alpha$, bounded by two infinite absorbing edges. In the absence of resetting, the second moment of the first-passage time…

First exit times from regions and their dependence on variations of boundaries are discussed for diffusion processes. The paper presents an estimate of $L_1$-distance between exit times from two regions via expectations of exit times.

We correct a previously erroneous calculation [Phys. Rev. E 62, 6065 (2000)] of the mean first passage time of a subdiffusive process to reach either end of a finite interval in one dimension. The mean first passage time is in fact…

The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine the numerical solution of this problem in the case of a two…

We present a novel computational method of first-passage times between a starting site and a target site of regular bounded lattices. We derive accurate expressions for all the moments of this first-passage time, validated by numerical…

A new solution to the mono-dimensional diffusion equation for time-variable first kind boundary condition is presented where the time-variable function at the surface is derived proposing a surface saturation model. This solution may be…

We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…

First-passage properties are central to the kinetics of target-search processes. Theoretical approaches so far primarily focused on predicting first-passage statistics for a given process or model. In practice, however, one faces the…

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…