相关论文: Application of the first-passage time method to tr…
We consider the problem of bounding mean first passage times for a class of continuous-time Markov chains that captures stochastic interactions between groups of identical agents. The quantitative analysis of such probabilistic population…
We solve the problem of first-passage time for run-and-tumble particles in one dimension. Exact expression is derived for the mean first-passage time in the general case, considering external force-fields and chemotactic-fields, giving rise…
We study a dynamical system with time dependent Hamiltonian by numerical experiments so as to find a relation between thermodynamics and chaotic nature of the system. Excess information loss, defined newly based on Lyapunov analysis, is…
In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first passage time of the tempered stable process…
First-passage time problems are ubiquitous across many fields of study including transport processes in semiconductors and biological synapses, evolutionary game theory and percolation. Despite their prominence, first-passage time…
We consider the problem of computing first-passage time distributions for reaction processes modelled by master equations. We show that this generally intractable class of problems is equivalent to a sequential Bayesian inference problem…
In this paper we introduce the concept of random time changes in dynamical systems. The subordination principle may be applied to study the long time behavior of the random time systems. We show, under certain assumptions on the class of…
First passage time statistics in disordered systems exhibiting scale invariance are studied widely. In particular, long trapping times in energy or entropic traps are fat-tailed distributed, which slow the overall transport process. We…
The approach the first-passage time (FPT) of a random process to a certain level is applied to the description of radiation-enhanced diffusion. This is an integral approach to describing the problem of radiation-enhanced diffusion, which…
Many problems in finance are related to first passage times. Among all of them, we chose three on which we contributed personally. Our first example relates Kolmogorov-Smirnov like goodness-of-fit tests, modified in such a way that tail…
A definition of the thermodynamic entropy based on the time-dependent probability distribution of the macroscopic variables is developed. When a constraint in a composite system is released, the probability distribution for the new…
We study the first-passage time (FPT) problem for widespread recurrent processes in confined though large systems and present a comprehensive framework for characterizing the FPT distribution over many time scales. We find that the FPT…
With nontrivial entropy production, first passage process is one of the most common nonequilibrium process in stochastic thermodynamics. Using one dimensional birth and death precess as a model framework, approximated expressions of mean…
The first-passage time (FPT) is a fundamental concept in stochastic processes, representing the time it takes for a process to reach a specified threshold for the first time. Often, considering a time-dependent threshold is essential for…
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 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…
In reliability theory and survival analysis, the residual entropy is known as a measure suitable to describe the dynamic information content in stochastic systems conditional on survival. Aiming to analyze the variability of such…
A collection of identical and independent rare event first passage times is considered. The problem of finding the fastest out of $N$ such events to occur is called an extreme first passage time. The rare event times are singular and limit…
Consider first passage percolation on $\mathbb{Z}^d$ with passage times given by i.i.d. random variables with common distribution $F$. Let $t_\pi(u,v)$ be the time from $u$ to $v$ for a path $\pi$ and $t(u,v)$ the minimal time among all…
Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below which the change materializes. In this paper, we study a…