相关论文: A Capture Problem in Brownian Motion and Eigenvalu…

In this article, we study the narrow capture problem on a Riemannian 2-manifold. This involves the derivation of the mean first passage (sojourn) time of a surface-bound ion modelled as a Brownian particle. We use a layer potential argument…

We derive a semi-analytic formula for the transition probability of three-dimensional Brownian motion in the positive octant with absorption at the boundaries. Separation of variables in spherical coordinates leads to an eigenvalue problem…

In this paper we present a computation of the mean first-passage times both for a random walk in a discrete bounded lattice, between a starting site and a target site, and for a Brownian motion in a bounded domain, where the target is a…

We consider a pursuit-evasion scenario involving a group of pursuers and a single evader in a two-dimensional unbounded environment. The pursuers aim to capture the evader in finite time while ensuring the evader remains enclosed within the…

We introduce a system of Brownian particles, each absorbed upon hitting an associated moving boundary. The boundaries are determined by the conditional probabilities of the particles being absorbed before some final time horizon, given the…

We establish high probability estimates on the eigenvalue locations of Brownian motion on the $N$-dimensional unitary group, as well as estimates on the number of eigenvalues lying in any interval on the unit circle. These estimates are…

We consider the Skorokhod problem in a time-varying interval. We prove existence and uniqueness for the solution. We also express the solution in terms of an explicit formula. Moving boundaries may generate singularities when they touch. We…

The random motion of a Brownian particle confined in some finite domain is considered. Quite generally, the relevant statistical properties involve infinite series, whose coefficients are related to the eigenvalues of the diffusion…

A simple random walk and a Brownian motion are considered on a spider that is a collection of half lines (we call them legs) joined in the origin. We give a strong approximation of these two objects and their local times. For fixed number…

Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we explore a set of probabilistic models--related to the SABR model in mathematical finance--which can be obtained by geometry-preserving transformations, and…

We consider a model of Brownian motion on a bounded open interval with instantaneous jumps. The jumps occur at a spatially dependent rate given by a positive parameter times a continuous function positive on the interval and vanishing on…

The narrow escape problem is a first-passage problem concerned with randomly moving particles in a physical domain, being trapped by absorbing surface traps (windows), such that the measure of traps is small compared to the domain size. The…

We study the solution to the Robin boundary problem for the Laplacian in a Euclidean domain. We present some families of fractal domains where the infimum of the solution is greater than 0, and some other families of domains were it is…

The main goal of this work is to provide sample-path estimates for the solution of slowly time-dependent SPDEs perturbed by a cylindrical fractional Brownian motion. Our strategy is similar to the approach by Berglund and Nader for…

We derive a three-term asymptotic expansion for the expected lifetime of Brownian motion and for the torsional rigidity on thin domains in R^n, and a two-term expansion for the maximum (and corresponding maximizer) of the expected lifetime.…

In this paper, we study the first two eigenvalues of the buckling problem on spherical domains. We obtain an estimate on the second eigenvalue in terms of the first eigenvalue, which improves one recent result obtained by Wang-Xia in [7].

We give a complete characterisation of the domain of attraction of fixed points of branching Brownian motion (BBM) with critical drift. Prior to this classification, we introduce a suitable metric space of locally finite point measures on…

We study the splitting probabilities for a one-dimensional Brownian motion in a cage whose two boundaries move at constant speeds $c_1$ and $c_2$. This configuration corresponds to the capture of a diffusing, but skittish lamb, with an…

Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coordinate is a standard Brownian motion with a non-zero drift.…

A comb domain is defined to be the entire complex plain with a collection of vertical slits, symmetric over the real axis, removed. In this paper, we consider the question of determining whether the exit time of planar Brownian motion from…