相关论文: Hybrid asymptotic-numerical approach for estimatin…
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…
A well known connection between first-passage probability of random walk and distribution of electrical potential described by Laplace equation is studied. We simulate random walk in the plane numerically as a discrete time process with…
In this paper, we propose numerical methods for computing the boundary local time of reflecting Brownian motion (RBM) in R3 and its use in the probabilistic representation of the solution of the Laplace equation with the Neumann boundary…
We propose a discrete analogue for the boundary local time of reflected diffusions in bounded Lipschitz domains. This discrete analogue, called the discrete local time, can be effectively simulated in practice and is obtained pathwise from…
We exploit millimeter wave technology to measure the reflection and transmission response of random dielectric media. Our samples are easily constructed from random stacks of identical, sub-wavelength quartz and Teflon wafers. The…
For a random walk on a confined one-dimensional domain, we consider mean first passage times (MFPT) in the presence of a mobile trap. The question we address is whether a mobile trap can improve capture times over a stationary trap. We…
We investigate reflected random walks in the quarter plane, with particular emphasis on the time spent along the reflection boundary axes. Assuming the drift of the random walk lies within the cone, the local time converges -- without the…
We consider the numerical solution of time-harmonic acoustic scattering by obstacles with uncertain geometries for Dirichlet, Neumann, impedance and transmission boundary conditions. In particular, we aim to quantify diffracted fields…
In this paper, using the approximate particular solutions of Helmholtz equations, we solve the boundary value problems of Helmholtz equations by combining the methods of fundamental solutions (MFS) with the methods of particular solutions…
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…
We study several lattice random walk models with stochastic resetting to previously visited sites which exhibit a phase transition between an anomalous diffusive regime and a localization regime where diffusion is suppressed. The localized…
We consider a random walk in confined geometry, starting from a site and eventually reaching a target site. We calculate analytically the distribution of the occupation time on a third site, before reaching the target site. The obtained…
We propose a reduced basis method to solve time-dependent partial differential equations based on the Laplace transform. Unlike traditional approaches, we start by applying said transform to the evolution problem, yielding a…
Irregular multivariate time series impose a trade-off for long-horizon forecasting: discrete methods can distort temporal structure via re-gridding, while continuous-time models often require sequential solvers prone to drift. To bridge…
This work addresses potential theoretic questions for the standard nearest neighbor random walk on the hypercube $\{-1,+1\}^N$. For a large class of subsets $A\subset\{-1,+1\}^N$ we give precise estimates for the harmonic measure of $A$,…
We construct an asymptotic approximation to the solution of a transmission problem for a body containing a region occupied by many small inclusions. The cluster of inclusions is characterised by two small parameters that determine the…
We develop a new quantum-mechanical approach to scattering a particle on a one-dimensional (1D) system of two identical rectangular potential barriers, which implies modelling the dynamics of its subprocesses -- transmission and reflection…
We consider time-dependent convection-diffusion problems with high P\'eclet number of order $\mathcal{O}(\varepsilon^{-1})$ in thin three-dimensional graph-like networks consisting of cylinders that are interconnected by small domains…
We study an unbiased, discrete time random walk on the nonnegative integers, with the origin absorbing. The process has a history-dependent step length: the walker takes steps of length v while in a region which has been visited before, and…
This paper discusses the asymptotic behaviour of the number of descents in a random signed permutation and its inverse, which was posed as an open problem by Chatterjee and Diaconis in a recent publication. For that purpose, we generalize…