We develop criteria for hitting probabilities of anisotropic Gaussian random fields with associated canonical pseudo-metric given by a class of gauge functions. This yields lower and upper bounds in terms of general notions of capacity and Hausdorff measure, respectively, therefore extending the classical estimates with the Bessel-Riesz capacity and the $γ$-dimensional Hausdorff measure. We apply the criteria to a system of linear stochastic partial differential equations driven by space-time noises that are fractional in time and either white or colored in space.
We consider the problem of characterising expected hitting times and hitting probabilities for imprecise Markov chains. To this end, we consider three distinct ways in which imprecise Markov chains have been defined in the literature: as sets of homogeneous Markov chains, as sets of more general stochastic processes, and as game-theoretic probability models. Our first contribution is that all these different types of imprecise Markov chains have the same lower and upper expected hitting times, and similarly the hitting probabilities are the same for these three types. Moreover, we provide a ch…
Motivated by a risk process with positive and negative premium rates, we consider a real-valued Markov additive process with finitely many background states. This additive process linearly increases or decreases while the background state is unchanged, and may have upward jumps at the transition instants of the background state. It is known that the hitting probabilities of this additive process at lower levels have a matrix exponential form. We here study the hitting probabilities at upper levels, which do not have a matrix exponential form in general. These probabilities give the ruin probab…
Generalizing the well-known relations on characteristic functions on a plane to the case of a one-dimensional regular surface (curve) with compact support, we establish implicit equations for these functions. Introducing an approximation, we solve the combinatorial problems and reduce these equations to a set of linear equations for a finite number of unknown functions. Imposing natural conditions, we obtain a closed system of linear equations which can be solved for a given surface. Its solutions can be used to calculate the distribution of hitting probabilities for a regular surface with com…
We consider a system of $d$ coupled non-linear stochastic heat equations in spatial dimension 1 driven by $d$-dimensional additive space-time white noise. We establish upper and lower bounds on hitting probabilities of the solution $\{u(t, x)\}_{t \in \mathbb{R}_+, x \in [0, 1]}$, in terms of respectively Hausdorff measure and Newtonian capacity. We also obtain the Hausdorff dimensions of level sets and their projections. A result of independent interest is an anisotropic form of the Kolmogorov continuity theorem.
We investigate the optimal Hölder continuity and hitting probabilities for systems of stochastic heat equations and stochastic wave equations driven by an additive fractional Brownian sheet with temporal index $1/2$ and spatial index $H\le1/2$. Using stochastic calculus for fractional Brownian motion, we prove that these systems are well-posed and the solutions are Hölder continuous. Furthermore, the optimal Hölder exponents are obtained, which is the first result, as far as we knew, on the optimal Hölder continuity of SHEs and SWEs driven by fractional Brownian sheet that is rough in space. B…
In the first part of this paper, we obtain symmetric formulae for the probabilities that a plane convex body hits exactly 1, 2, 3, 4, 5 or 6 triangles of a lattice of congruent triangles in the plane. Furthermore, a very simple formula for the expectation of the number of hit triangles is derived. In the second part, we calculate the hitting probabilities in the cases where the convex body is a rectangle, an ellipse and a half disc. Already known results for a line segment (needle) follow as special cases of the rectangle and the ellipse.
We prove sharp two-sided estimates on the tail probability of the first hitting time of bounded interval as well as its asymptotic behaviour for general non-symmetric processes which satisfy an integral condition \[ \int_0^{\infty} \frac{dξ}{1+\operatorname{Re} ψ(ξ)}<\infty. \] To this end, we first prove and then apply the global scale invariant Harnack inequality. Results are obtained under certain conditions on the characteristic exponent. We provide a wide class of Lévy processs which satisfy these assumptions.
We consider a system of $d$ non-linear stochastic fractional heat equations in spatial dimension $1$ driven by multiplicative $d$-dimensional space-time white noise. We establish a sharp Gaussian-type upper bound on the two-point probability density function of $(u(s, y), u (t, x))$. From this result, we deduce optimal lower bounds on hitting probabilities of the process $\{u(t, x): (t, x) \in [0, \infty[ \times \mathbb{R}\}$ in the non-Gaussian case, in terms of Newtonian capacity, which is as sharp as that in the Gaussian case. This also improves the result in Dalang, Khoshnevisan and Nualar…
Let $B^{H}$ be a $d$-dimensional fractional Brownian motion with Hurst index $H\in(0,1)$, $f:[0,1]\longrightarrow\mathbb{R}^{d}$ a Borel function, and $E\subset[0,1]$, $F\subset\mathbb{R}^{d}$ are given Borel sets. The focus of this paper is on hitting probabilities of the fractional Brownian motion $B^{H}$ with the deterministic drift $f$. It aims to highlight the role of the regularity properties of the drift $f$ as well as that of the dimension of $E$ in determining the upper and lower bounds of $\mathbb{P}\{(B^H+f)(E)\cap F\neq \emptyset \}$ for $F$ a subset of $\mathbb{R}^{d}$ and also fo…
We consider a $d$-dimensional random field $u=(u(x), x\in D)$ that solves a system of elliptic stochastic equations on a bounded domain $D\subset \mathbb{R}^k$, with additive white noise and spatial dimension $k=1,2,3$. Properties of $u$ and its probability law are proved. For Gaussian solutions, using results from [Dalang and Sanz-Solé, 2009], we establish upper and lower bounds on hitting probabilities in terms of the Hausdorff measure and Bessel-Riesz capacity, respectively. This relies on precise estimates on the canonical distance of the process or, equivalently, on $L^2$ estimates of inc…
We establish a sharp estimate on the negative moments of the smallest eigenvalue of the Malliavin matrix $γ_Z$ of $Z := (u(s, y), u(t, x) - u(s, y))$, where $u$ is the solution to system of $d$ non-linear stochastic heat equations in spatial dimension $k \geq 1$. We also obtain the optimal exponents for the $L^p$-modulus of continuity of the increments of the solution and of its Malliavin derivatives. These lead to optimal lower bounds on hitting probabilities of the process $\{u(t, x): (t, x) \in [0, \infty[ \times \mathbb{R}\}$ in the non-Gaussian case in terms of Newtonian capacity, and imp…
We consider a stochastic flow $ϕ_t(x,ω)$ in $\mathbb{R}^n$ with initial point $ϕ_0(x,ω)=x$, driven by a single $n$-dimensional Brownian motion, and with an outward radial drift of magnitude $\frac{ F(\|ϕ_t(x)\|)}{\|ϕ_t(x)\|}$, with $F$ nonnegative, bounded and Lipschitz. We consider initial points $x$ lying in a set of positive distance from the origin. We show that there exist constants $C^*,c^*>0$ not depending on $n$, such that if $F>C^*n$ then the image of the initial set under the flow has probability 0 of hitting the origin. If $0\leq F \leq c^*n^{3/4}$, and if the initial set has nonemp…
Let $A$ be a limsup random fractal with indices $γ_1, ~γ_2 ~$and $δ$ on $[0,1]^d$. We determine the hitting probability $\mathbb{P}(A\cap G)$ for any analytic set $G$ with the condition $(\star)$$\colon$ $\dim_{\rm H}(G)>γ_2+δ$, where $\dim_{\rm H}$ denotes the Hausdorff dimension. This extends the correspondence of Khoshnevisan, Peres and Xiao [10] by relaxing the condition that the probability $P_n$ of choosing each dyadic hyper-cube is homogeneous and $\lim\limits_{n\to\infty}\frac{\log_2P_n}{n}$ exists. We also present some counterexamples to show the Hausdorff dimension in condition $(\st…
For a scalar Gaussian process $B$ on $\mathbb{R}_{+}$ with a prescribed general variance function $γ^{2}\left(r\right) =\mathrm{Var}\left(B\left(r\right) \right) $ and a canonical metric $\mathrm{E}[\left(B\left(t\right) -B\left(s\right) \right) ^{2}]$ which is commensurate with $γ^{2}\left(t-s\right) $, we estimate the probability for a vector of $d$ iid copies of $B$ to hit a bounded set $A$ in $\mathbb{R}^{d}$, with conditions on $γ$ which place no restrictions of power type or of approximate self-similarity, assuming only that $γ$ is continuous, increasing, and concave, with $γ\left(0\righ…
We consider a $d$-dimensional random field $u = \{u(t,x)\}$ that solves a non-linear system of stochastic wave equations in spatial dimensions $k \in \{1,2,3\}$, driven by a spatially homogeneous Gaussian noise that is white in time. We mainly consider the case where the spatial covariance is given by a Riesz kernel with exponent $β$. Using Malliavin calculus, we establish upper and lower bounds on the probabilities that the random field visits a deterministic subset of $\IR^d$, in terms, respectively, of Hausdorff measure and Newtonian capacity of this set. The dimension that appears in the H…
We consider a system of $d$ non-linear stochastic heat equations in spatial dimension $k \geq 1$, whose solution is an $\R^d$-valued random field $u= \{u(t\,,x),\, (t,x) \in \R_+ \times \R^k\}$. The $d$-dimensional driving noise is white in time and with a spatially homogeneous covariance defined as a Riesz kernel with exponent $β$, where $0<β<(2 \wedge k)$. The non-linearities appear both as additive drift terms and as multipliers of the noise. Using techniques of Malliavin calculus, we establish an upper bound on the two-point density, with respect to Lebesgue measure, of the $\R^{2d}$-value…
Consider the linear stochastic biharmonic heat equation on a $d$-dimensional torus ($d=1,2,3$), driven by a space-time white noise and with periodic boundary conditions: \begin{equation} \label{0} \left(\frac{\partial}{\partial t}+(-Δ)^2\right) v(t,x)= σ\dot W(t,x),\ (t,x)\in(0,T]\times \mathbb{T}^d,\ v(0,x)=v_0(x). \end{equation} We find the canonical pseudo-distance corresponding to the random field solution, therefore the precise description of the anisotropies of the process. We see that for $d=2$, they include a $z(\log \tfrac{c}{z})^{1/2}$ term. Consider $D$ independent copies of the ran…
In population genetics, diffusions on the unit interval are often used to model the frequency path of an allele. In this setting we derive approximations for fixation probabilities, expected hitting times and the expected site-frequency-spectrum under small frequency-dependent selection. Specifically, we rederive and extend the one-third rule of evolutionary game theory (Nowak et al., 2004) and effects of stochastic slowdown (Altrock and Traulsen, 2009). Since similar effects are of interest in other application areas, we formulate our results for general one-dimensional diffusions.
We consider a system of d non-linear stochastic heat equations in spatial dimension 1 driven by d-dimensional space-time white noise. The non-linearities appear both as additive drift terms and as multipliers of the noise. Using techniques of Malliavin calculus, we establish upper and lower bounds on the one-point density of the solution u(t,x), and upper bounds of Gaussian-type on the two-point density of (u(s,y),u(t,x)). In particular, this estimate quantifies how this density degenerates as (s,y) converges to (t,x). From these results, we deduce upper and lower bounds on hitting probabiliti…
The asymptotic behavior of the tail probabilities for the first hitting times of the Bessel process with arbitrary index is shown without using the explicit expressions for the distribution function obtained in the authors' previous works.
Let $X= \{X(t), t \in \mathbb R^N\}$ be a centered Gaussian random field with values in $\mathbb R^d$ satisfying certain conditions and let $F \subset \mathbb R^d$ be a Borel set. In our main theorem, we provide a sufficient condition for $F$ to be polar for $X$, i.e. $\mathbb P \big( X(t) \in F \hbox{ for some } t \in \mathbb R^N \big) = 0$, which improves significantly the main result in Dalang et al [7], where the case of $F$ being a singleton was considered. We provide a variety of examples of Gaussian random field for which our result is applicable. Moreover, by using our main theorem, we…
This paper investigates the influences of standard numerical discretizations on hitting probabilities for linear stochastic parabolic system driven by space-time white noises. We establish lower and upper bounds for hitting probabilities of the associated numerical solutions of both temporal and spatial semi-discretizations in terms of Bessel-Riesz capacity and Hausdorff measure, respectively. Moreover, the critical dimensions of both temporal and spatial semi-discretizations turn out to be half of those of the exact solution. This reveals that for a large class of Borel sets $A$, the probabil…
We give sharp regularity results for the solution to the stochastic wave equation with linear fractional-colored noise. We apply these results in order to establish upper and lower bound for the hitting probabilities of the solution in terms of the Hausdorff measure and of the Newtonian capacity.
For a hyperbolic Brownian motion on the Poincaré half-plane $\mathbb{H}^2$, starting from a point of hyperbolic coordinates $z=(η, α)$ inside a hyperbolic disc $U$ of radius $\barη$, we obtain the probability of hitting the boundary $\partial U$ at the point $(\bar η,\bar α)$. For $\barη \to \infty$ we derive the asymptotic Cauchy hitting distribution on $\partial \mathbb{H}^2$ and for small values of $η$ and $\bar η$ we obtain the classical Euclidean Poisson kernel. The exit probabilities $\mathbb{P}_z\{T_{η_1}<T_{η_2}\}$ from a hyperbolic annulus in $\mathbb{H}^2$ of radii $η_1$ and $η_2$ ar…
We provide sharp lower and upper bounds for the Hausdorff dimension of the intersection of a typical random covering set with a fixed analytic set both in Ahlfors regular metric spaces and in the $d$-dimensional torus. In metric spaces, we consider covering sets generated by balls and, in the torus, we deal with general analytic generating sets.
By the Cameron--Martin theorem, if a function $f$ is in the Dirichlet space $D$, then $B+f$ has the same a.s. properties as standard Brownian motion, $B$. In this paper we examine properties of $B+f$ when $f \notin D$. We start by establishing a general 0-1 law, which in particular implies that for any fixed $f$, the Hausdorff dimension of the image and the graph of $B+f$ are constants a.s. (This 0-1 law applies to any Lévy process.) Then we show that if the function $f$ is Hölder$(1/2)$, then $B+f$ is intersection equivalent to $B$. Moreover, $B+f$ has double points a.s. in dimensions $d\le 3…
We obtain sharp asymptotic estimates for hitting probabilities of a critical branching Brownian motion in one dimension with killing at 0 We also obtain sharp asymptotic formulas for the tail probabilities of the number of particles killed at 0. In the special case of double-or-nothing branching, we give exact formulas for both the hitting probabilities, in terms of elliptic functions, and the distribution of the number of killed particles.
Let $B$ be a $d$-dimensional Gaussian process on $\mathbb{R}$, where the component are independents copies of a scalar Gaussian process $B_0$ on $\mathbb{R}_+$ with a given general variance function $γ^2(r)=\operatorname{Var}\left(B_0(r)\right)$ and a canonical metric $δ(t,s):=(\mathbb{E}\left(B_0(t)-B_0(s)\right)^2)^{1/2}$ which is commensurate with $γ(t-s)$. We provide some general condition on $γ$ so that for any Borel set $E\subset [0,1]$, the Hausdorff dimension of the image $B(E)$ is constant a.s., and we explicit this constant. Also, we derive under some mild assumptions on $γ\,$ an upp…
Z^d-extensions of probability-preserving dynamical systems are themselves dynamical systems preserving an infinite measure, and generalize random walks. Using the method of moments, we prove a generalized central limit theorem for additive functionals of the extension of integral zero, under spectral assumptions. As a corollary, we get the fact that Green-Kubo's formula is invariant under induction. This allows us to relate the hitting probability of sites with the symmetrized potential kernel, giving an alternative proof and generalizing a theorem of Spitzer. Finally, this relation is used to…
We develop several results on hitting probabilities of random fields which highlight the role of the dimension of the parameter space. This yields upper and lower bounds in terms of Hausdorff measure and Bessel--Riesz capacity, respectively. We apply these results to a system of stochastic wave equations in spatial dimension $k\ge1$ driven by a $d$-dimensional spatially homogeneous additive Gaussian noise that is white in time and colored in space.
We consider excursions for a class of stochastic processes describing a population of discrete individuals experiencing density-limited growth, such that the population has a finite carrying capacity and behaves qualitatively like the classical logistic model when the carrying capacity is large. Being discrete and stochastic, however, our population nonetheless goes extinct in finite time. We present results concerning the maximum of the population prior to extinction in the large population limit, from which we obtain establishment probabilities and upper bounds for the process, as well as es…
We establish and generalise several bounds for various random walk quantities including the mixing time and the maximum hitting time. Unlike previous analyses, our derivations are based on rather intuitive notions of local expansion properties which allows us to capture the progress the random walk makes through $t$-step probabilities. We apply our framework to dynamically changing graphs, where the set of vertices is fixed while the set of edges changes in each round. For random walks on dynamic connected graphs for which the stationary distribution does not change over time, we show that the…
A variety of systems in physics, chemistry, biology, and psychology are modeled in terms of diffusing "searchers" looking for "targets." Examples range from gene regulation, to cell sensing, to human decision-making. A commonly studied statistic in these models is the so-called hitting probability for each target, which is the probability that a given single searcher finds that particular target. However, the decisive event in many systems is not the arrival of a given single searcher to a target, but rather the arrival of the fastest searcher to a target out of many searchers. In this paper, …
Let $E=\limsup\limits_{n\to\infty}(g_n+ξ_n)$ be the random covering set on the torus $\mathbb{T}^d$, where $\{g_n\}$ is a sequence of ball-like sets and $ξ_n$ is a sequence of independent random variables uniformly distributed on $\T^d$. We prove that $E\cap F\neq\emptyset$ almost surely whenever $F\subset\mathbb{T}^d$ is an analytic set with Hausdorff dimension, $\dim_H(F)>d-α$, where $α$ is the almost sure Hausdorff dimension of $E$. Moreover, examples are given to show that the condition on $\dim_H(F)$ cannot be replaced by the packing dimension of $F$.
We study the problem of characterizing the expected hitting times for a robust generalization of continuous-time Markov chains. This generalization is based on the theory of imprecise probabilities, and the models with which we work essentially constitute sets of stochastic processes. Their inferences are tight lower- and upper bounds with respect to variation within these sets. We consider three distinct types of these models, corresponding to different levels of generality and structural independence assumptions on the constituent processes. Our main results are twofold; first, we demonstrat…
In the first part of this article, we prove two-sided estimates of hitting probabilities of balls, the potential kernel and the Green function for a ball for general isotropic unimodal Lévy processes. Our bounds are sharp under the absence of the Gaussian component and a mild regularity condition on the density of the Lévy measure: its radial profile needs to satisfy a scaling-type condition, which is equivalent to $O$-regular variation at zero and at infinity with lower indices greater than $-d - 2$. We also prove a supremum estimate and a regularity result for functions harmonic with respect…
We consider a continuous-time Markov chain with a finite or countable state space. For a site y and subset H of the state space, the hitting time of y under taboo H is defined to be infinite if the process trajectory hits H before y, and the first hitting time of y otherwise. We investigate the probability that such times are finite. In particular, if the taboo set is finite, an efficient iterative scheme reduces the study to the known case of a singleton taboo. A similar procedure applies in the case of finite complement of the taboo set. The study is motivated by classification of branching …
Applying the technique of characteristic functions developped for one-dimensional regular surfaces (curves) with compact support, we obtain the distribution of hitting probabilities for a wide class of finite membranes on square lattice. Then we generalize it to multi-dimensional finite membranes on hypercubic lattice. Basing on these distributions, we explicitly construct the Brownian self-transport operator which governs the Laplacian transfer. In order to verify the accuracy of the distribution of hitting probabilities, numerical analysis is carried out for some particular membranes.
In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve according to quite general semimartingales. We show that the ruin problem corresponds to determining hitting probabilities for the solution to a randomly perturbed stochastic integral equation. We derive a large deviation result for the hitting probabilities that holds uniformly over a family of semimartingales and show that this result gives the asymptotic decay of…
For a multivariate random walk with i.i.d. jumps satisfying the Cramer moment condition and having a mean vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant that is being translated to infinity along a fixed vector with positive components. This problem is motivated by and extends results from a paper by F. Avram et al. (2008) on a two-dimensional risk process. Our approach combines the large deviation techniques from a recent series of papers by A. Borovkov and A. Mogulskii with new auxiliary constructions, whic…
For a finite state Markov process and a finite collection $\{ Γ_k, k \in K \}$ of subsets of its state space, let $τ_k$ be the first time the process visits the set $Γ_k$. We derive explicit/recursive formulas for the joint density and tail probabilities of the stopping times $\{ τ_k, k \in K\}$. The formulas are natural generalizations of those associated with the jump times of a simple Poisson process. We give a numerical example and indicate the relevance of our results to credit risk modeling.
We present a novel algorithm to solve a non-linear system of equations, whose solution can be interpreted as a tight lower bound on the vector of expected hitting times of a Markov chain whose transition probabilities are only partially specified. We also briefly sketch how this method can be modified to solve a conjugate system of equations that gives rise to the corresponding upper bound. We prove the correctness of our method, and show that it converges to the correct solution in a finite number of steps under mild conditions on the system. We compare the runtime complexity of our method to…
Let $G$ be a finite tree with root $r$ and associate to the internal vertices of $G$ a collection of transition probabilities for a simple nondegenerate Markov chain. Embedd $G$ into a graph $G^\prime$ constructed by gluing finite linear chains of length at least 2 to the terminal vertices of $G.$ Then $G^\prime$ admits distinguished boundary layers and the transition probabilities associated to the internal vertices of $G$ can be augmented to define a simple nondegenerate Markov chain $X$ on the vertices of $G^\prime.$ We show that the transition probabilities of $X$ can be recovered from the…
We show that quantum probabilities can be derived from statistical mechanics of classical fields. We consider Brownian motion in the space of fields and show that such a random field interacting with threshold type detectors produces clicks at random moments of time. And the corresponding probability distribution can be approximately described by the formalism of quantum mechanics. Hence, probabilities in quantum mechanics and classical statistical mechanics differ not so much as it is typically claimed. The temporal structure of the "prequantum random field" (which is the $L_2$-valued Wiener …
We obtain a formula for the $n$-dimensional distributions of the Airy$_1$ process in terms of a Fredholm determinant on $L^2(\rr)$, as opposed to the standard formula which involves extended kernels, on $L^2(\{1,...,n\}\times\rr)$. The formula is analogous to an earlier formula of [PS02] for the Airy$_2$ process. Using this formula we are able to prove that the Airy$_1$ process is Hölder continuous with exponent $\frac12-$ and that it fluctuates locally like a Brownian motion. We also explain how the same methods can be used to obtain the analogous results for the Airy$_2$ process. As a conseq…
