相关论文: Martingale approach for first-passage problems of …
Using the martingale approach we find sufficient conditions for exponential boundedness of first passage times over a level for ergodic first order autoregressive sequences (AR(1)). Further, we prove a martingale identity to be used in…
We study the statistics of first passage times (FPTs) of trajectory observables in both classical and quantum Markov processes. We consider specifically the FPTs of counting observables, that is, the times to reach a certain threshold of a…
In this paper we present a comprehensive analysis of the solution of the classical problem of finding the distribution density of a random variable - the first passage time to a given domain by the trajectory of a $p$-adic Markov stochastic…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
General upper bounds on fluctuations of trajectory observables were recently obtained. It turned out that the size of fluctuations of dynamical observable is limited from below and from above. For the moment generating function of general…
Gated first-passage processes, where completion depends on both hitting a target and satisfying additional constraints, are prevalent across various fields. Despite their significance, analytical solutions to basic problems remain unknown,…
First-passage properties are central to the kinetics of target-search processes. Theoretical approaches so far primarily focused on predicting first-passage statistics for a given process or model. In practice, however, one faces the…
The aim of this paper is to investigate how the correlation properties of a stationary Markovian stochastic processes affect the First Passage Time distribution. First Passage Time issues are a classical topic in stochastic processes…
We determine the asymptotic speed of the first-passage percolation process on some ladder-like graphs (or width-2 stretches) when the times associated with different edges are independent and exponentially distributed but not necessarily…
We consider a Markov jump process on a general state space to which we apply a time-dependent weak perturbation over a finite time interval. By martingale-based stochastic calculus, under a suitable exponential moment bound for the…
We develop a regression based primal-dual martingale approach for solving finite time horizon MDPs with general state and action space. As a result, our method allows for the construction of tight upper and lower biased approximations of…
We explore first-passage phenomenology for biased active processes with a renewal-type structure, focusing in particular on paradigmatic run-and-tumble models in both discrete and continuous state spaces. In general, we show there is no…
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…
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…
The presence of temporal correlations in random movement trajectories is a widespread phenomenon across biological, chemical and physical systems. The ubiquity of persistent and anti-persistent motion in many natural and synthetic systems…
We introduce a perturbative method to calculate all moments of the first-passage time distribution in stochastic one-dimensional processes which are subject to both white and coloured noise. This class of non-Markovian processes is at the…
This work provides a novel convergence analysis for stochastic optimization in terms of stopping times, addressing the practical reality that algorithms are often terminated adaptively based on observed progress. Unlike prior approaches,…
A general theory is derived for the moments of the first passage time of a one-dimensional Markov process in presence of a weak time-dependent forcing. The linear corrections to the moments can be expressed by quadratures of the potential…
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…
The computation of the probability of the first-passage time through a given threshold of a stochastic process is a classic problem that appears in many branches of physics. When the stochastic dynamics is markovian, the probability admits…