相关论文: Crossover between Levy and Gaussian regimes in fir…

Continuous-time random walks combining diffusive scattering and ballistic propagation on lattices model a class of L\'evy walks. The assumption that transitions in the scattering phase occur with exponentially-distributed waiting times…

We study the first passage time (FPT) problem in Levy type of anomalous diffusion. Using the recently formulated fractional Fokker-Planck equation, we obtain an analytic expression for the FPT distribution which, in the large passage time…

The escape from a given domain is one of the fundamental problems in statistical physics and the theory of stochastic processes. Here, we explore properties of the escape of an inertial particle driven by L\'evy noise from a bounded domain,…

We propose a model for anomalous transport in inhomogeneous environments, such as fractured rocks, in which particles move only along pre-existing self-similar curves (cracks). The stochastic Loewner equation is used to efficiently generate…

The time to first crossing for the Poisson counting process with respect to a linear moving barrier with offset is a classic problem, although key results remain scattered across the literature and their equivalence is often unclear. Here…

Let be $X(t)= x - \mu t + \sigma B_t - N_t$ a L$\acute{\text{e}}$vy process starting from $x >0,$ where $ \mu \ge 0, \ \sigma \ge 0, \ B_t$ is a standard BM, and $N_t$ is a homogeneous Poisson process with intensity $ \theta >0,$ starting…

We review some of the theory relevant to passage times of one-dimensional L\'evy processes out of bounded regions, highlighting results that are useful in physical phenomena modelled by heavy-tailed L\'evy flights. The process is…

We have studied the conductance distribution function of two-dimensional disordered noninteracting systems in the crossover regime between the diffusive and the localized phases. The distribution is entirely determined by the mean…

The study of first passage times for diffusing particles reaching target states is foundational in various practical applications, including diffusion-controlled reactions. In this work, we present a bi-scaling theory for the probability…

We propose a new approximation for the distribution of the time of the first level $u$ crossing by the random process $\homV{s}-cs$, where $\homV{s}$, $s>0$, is compound renewal process and $c>0$. It is competitive with respect to existing…

Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…

First-passage times in random walks have a vast number of diverse applications in physics, chemistry, biology, and finance. In general, environmental conditions for a stochastic process are not constant on the time scale of the average…

We consider a Markovian jumping process with two absorbing barriers, for which the waiting-time distribution involves a position-dependent coefficient. We solve the Fokker-Planck equation with boundary conditions and calculate the mean…

Random walk simulation of the Levy flight shows a linear relation between the mean square displacement <r2> and time. We have analyzed different aspects of this linearity. It is shown that the restriction of jump length to a maximum value…

The Kolmogorov scaling law of turbulences has been considered the most important theoretical breakthrough in the last century. It is an essential approach to analyze turbulence data present in meteorological, physical, chemical, biological…

Insight into a number of interesting questions in cosmology can be obtained from the first crossing distributions of physically motivated barriers by random walks with correlated steps. We write the first crossing distribution as a formal…

S. G. Kou and H. Wang [First Passage times of a Jump Diffusion Process \textit{Ann. Appl. Probab.} {\bf 35} (2003) 504--531] give expressions of both the (real) Laplace transform of the distribution of first passage time and the (real)…

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…

Possible distributions are discussed for intertrade durations and first-passage processes in financial markets. The view-point of renewal theory is assumed. In order to represent market data with relatively long durations, two types of…

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…