相关论文: A martingale analysis of first passage times of ti…

The survival probability and the first-passage-time statistics are important quantities in different fields. The Wiener process is the simplest stochastic processwith continuous variables, and important results can be explicitly found from…

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…

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…

This paper is the first part of a series of papers on filtering for partially observed jump diffusions satisfying a stochastic differential equation driven by Wiener processes and Poisson martingale measures. The coefficients of the…

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…

In one-dimensional systems, the dynamics of a Brownian particle are governed by the force derived from a potential as well as by diffusion properties. In this work, we obtain the first-passage-time statistics of a Brownian particle driven…

To make decisions organisms often accumulate information across multiple timescales. However, most experimental and modeling studies of decision-making focus on sequences of independent trials. On the other hand, natural environments are…

We derive expressions for the first three moments of the decision time (DT) distribution produced via first threshold crossings by sample paths of a drift-diffusion equation. The "pure" and "extended" diffusion processes are widely used to…

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…

We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major…

Human decision making behavior is observed with choice-response time data during psychological experiments. Drift-diffusion models of this data consist of a Wiener first-passage time (WFPT) distribution and are described by cognitive…

As known, the commonly-utilized ways to determine mean first-passage time $\overline{\mathcal{F}}$ for random walk on networks are mainly based on Laplacian spectra. However, methods of this type can become prohibitively complicated and…

Evidence accumulation models of simple decision-making have long assumed that the brain estimates a scalar decision variable corresponding to the log-likelihood ratio of the two alternatives. Typical neural implementations of this…

The existence of a global martingale solution to a cross-diffusion system with multiplicative Wiener noise in a bounded domain with no-flux boundary conditions is shown. The model describes the dynamics of population densities of different…

We present the analysis of the first passage time problem on a finite interval for the generalized Wiener process that is driven by L\'evy stable noises. The complexity of the first passage time statistics (mean first passage time,…

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…

A random walk (or a Wiener process), possibly with drift, is observed in a noisy or delayed fashion. The problem considered in this paper is to estimate the first time \tau the random walk reaches a given level. Specifically, the p-moment…

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.…

We consider a Markovian jumping process with two absorbing barriers, for which the waiting-time distribution involves a position-dependent coefficient. We solve the Fokker-Planck equation with boundary conditions and calculate the mean…

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…