相关论文: Escape probabilities of compound renewal processes…

We give estimates for the probability that a chordal, radial or two-sided radial SLE$_\kappa$ curve retreats far from its terminal point after coming close to it, for $\kappa \leq 4$. The estimates are uniform over all initial segments of…

Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an…

For one-dimensional Jump-Drift and Jump-Diffusion processes converging towards some steady state, the large deviations of a long dynamical trajectory are described from two perspectives. Firstly, the joint probability of the empirical…

In this paper, we derive identities for the upward and downward exit problems and resolvents for a process whose motion changes between two L\'evy processes if it is above (or below) a barrier $b$ and coincides with a Poissonian arrival…

We prove sharp asymptotic estimates for the rate of escape of the two-dimensional simple random walk conditioned to avoid a fixed finite set. We derive it from asymptotics available for the continuous analogue of this process (cf…

Complex systems are sometimes subject to non Gaussian alpha stable Levy fluctuations. A new method is devised to estimate this uncertain parameter and other system parameters, using observations on either mean exit time or escape…

In this paper escape rates and local escape rates for special flows are sudied. In a general context the first result is that the escape rate depends monotonically on the ceiling function and fulfills certain scaling, invariance, and…

Certain renewal theorems are extended to the case that the rate of the renewal process goes to 0 and, more generally, to the case that the drift of the random walk goes to infinity. These extensions are motivated by and applied to the…

We consider a run-and-tumble particle on a finite interval $[a,b]$ with two absorbing end points. The particle has an internal velocity state that switches between three values $v,0,-v$ at exponential times, thus incorporating positive…

The escape probability is a deterministic concept that quantifies some aspects of stochastic dynamics. This issue has been investigated previously for dynamical systems driven by Gaussian Brownian motions. The present work considers escape…

We formulate a model that describes the escape dynamics in a leaky chaotic system in which the size of the leak depends on the number of the in-falling particles. The basic motivation of this work is the astrophysical process which…

The problem of thermally activated escape over a potential barrier is solved by means of path integrals for one-dimensional reaction dynamics with very general time dependences. For a suitably chosen but still quite simple static potential…

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 provide necessary and sufficient conditions for explosion and implosion of birth-and-death (non-Markov) continuous-time random walks. In other words, we obtain conditions for $\infty$ to be accessible and for it to be an entrance point.…

We discuss a concept of path-dependent SDE with distributional drift with possible jumps. We interpret it via a suitable martingale problem, for which we provide existence and uniqueness. The corresponding solutions are expected to be…

We consider random walks on the set of all words over a finite alphabet such that in each step only the last two letters of the current word may be modified and only one letter may be adjoined or deleted. We assume that the transition…

The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right,…

We consider processes that coincide with a given diffusion process outside a finite collection of domains. In each of the domains, there is, additionally, a large drift directed towards the interior of the domain. We describe the limiting…

We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…

We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Levy processes with rational Laplace exponent. This extends recent results by Cai and Kou on the processes with hyper-exponential…