相关论文: On Decomposition of the Last Passage Time of Diffu…
We consider a two-dimensional diffusion process in a two-layered plane, governed by distinct covariance matrices in the upper and lower half-planes and by two drift vectors pointed away from the $x$-axis. We first analyze the case where the…
Starting with the Green's functions found for normal diffusion, we construct exact time-dependent Green's functions for subdiffusive equation (with fractional time derivatives), with the boundary conditions involving a linear combination of…
Several classic problems for particles diffusing outside an arbitrary configuration of non-overlapping partially reactive spherical traps in three dimensions are revisited. For this purpose, we describe the generalized method of separation…
We study the statistics of last-passage time for linear diffusions. First we present an elementary derivation of the Laplace transform of the probability density of the last-passage time, thus recovering known results from the mathematical…
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is defined as the current increase over its…
We study the one-dimensional diffusion process which takes place between two reflecting boundaries and which is acted upon by a time-dependent and spatially-constant force. The assumed force possesses both the harmonically oscillating and…
The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following…
We consider a Brownian motion on a general graph, that starts at time t=0 from some vertex O and stops at time t somewhere on the graph. Denoting by g the last time when O is reached, we establish a simple expression for the Laplace…
Sub-diffusion equations are used in a large range of applications including fluids, plasma physics and biology. Their mathematical analysis is advanced even if a much larger literature addresses super-diffusions. The goal of this paper is…
We present the model of a diffusion-absorption process in a system which consists of two media separated by a thin partially permeable membrane. The kind of diffusion as well as the parameters of the process may be different in both media.…
Boundary value problems for diffusion in singularly perturbed domains (domains with small holes removed from the interior) is a topic of considerable current interest. Applications include intracellular diffusive transport and the spread of…
The path decomposition expansion represents the propagator of the irreversible reaction as a convolution of the first-passage, last-passage and rebinding time probability densities. Using path integral technique, we give an elementary, yet…
The fundamental solution (Green function) for the Cauchy problem of the space-time fractional diffusion equation is investigated with respect to its scaling and similarity properties, starting from its Fourier-Laplace representation. Then,…
The inversion theorem and convolution theorem of the conformable fractional Laplace transforms are developed. All the elementary properties of the classical Laplace transform are extended to the conformable fractional transform, and using…
We derive the asymptotic first passage time (FPT) distribution for space-dependent variable-order time-fractional diffusion, where the fractional exponent $\alpha(x)$ varies with position. For any sufficiently smooth $\alpha(x)$ on a finite…
We obtain an exact formula for the first-passage time probability distribution for random walks on complex networks using inverse Laplace transform. We write the formula as the summation of finitely many terms with different frequencies…
We show how the linearized equations of motion of any dissipative current are determined by the analytical structure of the associated retarded Green's function. If the singularity of the Green's function, which is nearest to the origin in…
In this paper we study the moment generating function and the moments of occupation time functionals of one-dimensional diffusions. Assuming, specifically, that the process lives on $\mathbb{R}$ and starts at~0, we apply Kac's moment…
We use a subdiffusion equation with fractional Caputo time derivative with respect to another function $g$ ($g$--subdiffusion equation) to describe a smooth transition from ordinary subdiffusion to superdiffusion. Ordinary subdiffusion is…
We give a method for computing the iterated Laplace transform of the sojourn time in an union of intervals for linear diffusion processes. This random variable comes from a model occurring in biology concerning the clustering of membrane…