相关论文: First Passage Time for Multivariate Jump-diffusion…
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…
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…
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…
In nuclear fusion and fission, fluctuation and dissipation arise due to the coupling of collective degrees of freedom with internal excitations. Close to the barrier, both quantum, statistical and non-Markovian effects are expected to be…
We study the statistics of the first-passage time of a single run and tumble particle (RTP) in one spatial dimension, with or without resetting, to a fixed target located at $L>0$. First, we compute the first-passage time distribution of a…
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…
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the…
A common scenario in a variety of biological systems is that multiple particles are searching in parallel for an immobile target located in a bounded domain, and the fastest among them that arrives to the target first triggers a given…
We briefly review the principles, mathematical bases, numerical shortcuts and applications of fast random walk (FRW) algorithms. This Monte Carlo technique allows one to simulate individual trajectories of diffusing particles in order to…
This paper discusses tractable development and statistical estimation of a continuous time stochastic process with a finite state space having non-Markov property. The process is formed by a finite mixture of right-continuous Markov jump…
The present work provides a critical assessment of numerical solutions of the space-fractional diffusion-advection equation, which is of high significance for applications in various natural sciences. In view of the fact that, in contrast…
We present a stochastic method for efficiently computing the solution of time-fractional partial differential equations (fPDEs) that model anomalous diffusion problems of the subdiffusive type. After discretizing the fPDE in space, the…
The Schr\"odinger integral-equation approach for calculating the classical first-passage time (C-fpt) probability density is extended to the case of quantum first-passage time (Q-fpt). Using this extension, we have calculated analytically…
The first-passage time is proposed as an independent thermodynamic parameter of the statistical distribution that generalizes the Gibbs distribution. The theory does not include the determination of the first passage statistics itself. A…
We provide an explicit formula for the global mean first-passage time (GMFPT) for random walks in a general graph with a perfect trap fixed at an arbitrary node, where GMFPT is the average of mean first-passage time to the trap over all…
The first passage time (FPT) distribution for random walk in complex networks is calculated through an asymptotic analysis. For network with size $N$ and short relaxation time $\tau\ll N$, the computed mean first passage time (MFPT), which…
The purpose of this paper is to investigate several analytical methods of solving first passage (FP) problem for the Rouse model, a simplest model of a polymer chain. We show that this problem has to be treated as a multi-dimensional…
We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps. Under reasonable assumptions, we establish the convergence of solutions to the…
We study the distribution of first passage time (FPT) in Levy type of anomalous diffusion. Using recently formulated fractional Fokker-Planck equation we obtain three results. (1) We derive an explicit expression for the FPT distribution in…
The Inverse First Passage time problem seeks to determine the boundary corresponding to a given stochastic process and a fixed first passage time distribution. Here, we determine the numerical solution of this problem in the case of a two…