We report some additional examples of explicit solutions to an inverse first-passage place problem for one-dimensional diffusions with jumps, introduced in a previous paper. If $X(t)$ is a one-dimensional diffusion with jumps, starting from a random position $η\in [a,b],$ let be $τ_{a,b}$ the time at which $X(t)$ first exits the interval $(a,b),$ and $π_a = P(X(τ_{a,b}) \le a)$ the probability of exit from the left of $(a,b).$ Given a probability $q \in (0,1),$ the problem consists in finding the density $g$ of $η$ (if it exists) such that $π_a = q;$ it can be seen as a problem of optimization.
We study an inverse first-passage-time problem for Wiener process $X(t)$ subject to hold and jump from a boundary $c.$ Let be given a threshold $S>X(0) \ge c,$ and a distribution function $F$ on $[0, + \infty ).$ The problem consists in finding the distribution of the holding time at $c$ and the distribution of jumps from $c,$ so that the first-passage time of $X(t)$ through $S$ has distribution $F.$
The transition mechanism of jump processes between two different subsets in state space reveals important dynamical information of the processes and therefore has attracted considerable attention in the past years. In this paper, we study the first passage path ensemble of both discrete-time and continuous-time jump processes on a finite state space. The main approach is to divide each first passage path into nonreactive and reactive segments and to study them separately. The analysis can be applied to jump processes which are non-ergodic, as well as continuous-time jump processes where the wa…
In this note, we study the directed first passage percolation introduced in [F. Comets, R. Fukushima, S. Nakajima and N. Yoshida: Journal of Statistical Physics, 161-(3), 577-597 (2015)]. It is proved that the shortest path from the origin to the $n$-th hyperplane makes a jump larger than a small power of $\log n$. Some numerical results are also provided, which indicates that the maximal jump size is much larger in a certain parameter region.
Let (Xt, t >= 0) be a diffusion process with jumps, sum of a Brownian motion with drift and a compound Poisson process. We consider T_x the first hitting time of a fixed level x > 0 by (Xt, t >= 0). We prove that the law of T_x has a density (defective when E(X1) < 0) with respect to the Lebesgue measure.
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) Laplace transform of the joint distribution of the first passage time and the running maxima of a jump-diffusion model called Kou model. %However, to invert the last Laplace transform it is needed Kuo and Wang invert the first Laplace transform by using Gaver-Stehfest algorithm, and the inversion of second one involves a large computing time with an algebra comp…
In this paper, we first form a method to calculate the probability generating function of the total progeny of multitype branching process. As examples, we calculate probability generating function of the total progeny of the multitype branching processes within random walk which could stay at its position and (2-1) random walk. Consequently, we could give the probability generating functions and the distributions of the hitting time of corresponding random walks.
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach consists in pointing out explicit expressions of the probability distributions, an other approach is rather based on the numerical generation of the random variables. We propose an algorithm in order to generate the first passage time through a given level of a one-dimensional jump diffusion. This process satisfies a stochastic differential equation driven by a B…
Suppose $X$ is a Markov process on the real line (or some interval). Do the distributions of its first passage times downwards (fptd) determine its law? In this paper we treat some special cases of this question. We prove that if the fptd process has the law of a subordinator, then necessarily $X$ is a Lévy process with no negative jumps; specifying the law of the subordinator determines the law of $X$ uniquely. We further show that, likewise, the classes of continuous-state branching processes and of self-similar processes without negative jumps are also respectively characterised by a certai…
We consider a system of N particles with a stochastic dynamics introduced by Brunet and Derrida. The particles can be interpreted as last passage times in directed percolation on {1,...,N} of mean-field type. The particles remain grouped and move like a traveling wave, subject to discretization and driven by a random noise. As N increases, we obtain estimates for the speed of the front and its profile, for different laws of the driving noise. The Gumbel distribution plays a central role for the particle jumps, and we show that the scaling limit is a Lévy process in this case. The case of bound…
In this paper a class of Ornstein--Uhlenbeck processes driven by compound Poisson processes is considered. The jumps arrive with exponential waiting times and are allowed to be two-sided. The jumps are assumed to form an iid sequence with distribution a mixture (not necessarily convex) of exponential distributions, independent of everything else. The fact that downward jumps are allowed makes passage of a given lower level possible both by continuity and by a jump. The time of this passage and the possible undershoot (in the jump case) is considered. By finding partial eigenfunctions for the i…
Mean first passage times of higher-dimensional velocity jump processes
California State University at Northridge（北岭加州州立大学）；University of California at Los Angeles（加利福尼亚大学洛杉矶分校）；University of Notre Dame（圣母大学）；University of Alberta（阿尔伯塔大学）
Our paper illustrates how the theory of Lie systems allows recovering known results and provide new examples of piecewise deterministic processes with phase-type jumps for which the corresponding first-time passage problems may be solved explicitly.
A recursive formula for the $n^\text{th}$ survival function and the $n^\text{th}$ first passage time distribution for jump and diffusion processes. Applications to the pricing of $n^\text{th}$-to-default CDS
A systematic exposition of scale functions is given for positive self-similar Markov processes (pssMp) with one-sided jumps. The scale functions express as convolution series of the usual scale functions associated with spectrally one-sided Lévy processes that underly the pssMp through the Lamperti transform. This theory is then brought to bear on solving the spatio-temporal: (i) two-sided exit problem; (ii) joint first passage problem upwards for the the pssMp and its multiplicative drawdown (resp. drawup) in the spectrally negative (resp. positive) case.
We study the free energy and its relevant quantity for the directed polymer in random environment. The polymer is allowed to make unbounded jumps and the environment is given by the Bernoulli variables. We first establish the concentration of the ground state energy of polymer at zero temperature. Secondly, we also prove the same property of the free energy at finite temperature. In the proof, we use the fact that the maximum jump of any polymer nearly minimizing energy is not too large with high probability. This is an interesting property itself from the first passage percolation viewpoint.
The existence of moments of first downward passage times of a spectrally negative Lévy process is governed by the general dynamics of the Lévy process, i.e. whether the Lévy process is drifting to $+\infty$, $-\infty$ or oscillates. Whenever the Lévy process drifts to $+\infty$, we prove that the $κ$-th moment of the first passage time (conditioned to be finite) exists if and only if the $(κ+1)$-th moment of the Lévy jump measure exists. This generalises a result shown earlier by Delbaen for Cramér-Lundberg risk processes \cite{Delbaen1990}. Whenever the Lévy process drifts to $-\infty$, we pr…
We construct a stochastic fluid process with an underlying piecewise deterministic Markov process (PDMP) akin to the one used in the construction of the rational arrival process (RAP), which we call the RAP-modulated fluid process. As opposed to the classic stochastic fluid process driven by a Markov jump process, the underlying PDMP of a RAP-modulated fluid process has a continuous state space and is driven by matrix parameters which may not be related to an intensity matrix. Through novel techniques we show how well-known formulae associated to the classic stochastic fluid process, such as f…
A natural extension of a right-continuous integer-valued random walk is one which can jump to the right by one or two units. First passage times above a given fixed level then admit a tractable Laplace transform (probability generating function). Explicit expressions for the probabilities that the respective overshoots are either $0$ or $1$, according as the random walk crosses a given level for the first time either continuously or not, also obtain. An interesting non-obvious observation, which follows from the analysis, is that any such (non-degenerate) random walk will, eventually in $n\in …
We consider a continuous-time Ehrenfest model defined over the integers from -N to N, and subject to catastrophes occurring at constant rate. The effect of each catastrophe instantaneously resets the process to state 0. We investigate both the transient and steady-state probabilities of the above model. Further, the first passage time through state 0 is discussed. We perform a jump-diffusion approximation of the above model, which leads to the Ornstein-Uhlenbeck process with catastrophes. The underlying jump-diffusion process is finally studied, with special attention to the symmetric case ari…
For a given barrier $S$ and a one-dimensional jump-diffusion process $X(t),$ starting from $x<S,$ we study the probability distribution of the integral $A_S(x)= \int_0 ^ {τ_S(x)}X(t) \ dt$ determined by $X(t)$ till its first-crossing time $τ_S(x)$ over $S.$ In particular, we show that the Laplace transform and the moments of $A_S(x)$ are solutions to certain partial differential-difference equations with outer conditions. The distribution of the minimum of $X(t)$ in $[0, τ_S(x)]$ is also studied. Thus, we extend the results of a previous paper by the author, concerning the area swept out by $X…
For the sum process $X=X^1+X^2$ of a bivariate Lévy process $(X^1,X^2)$ with possibly dependent components, we derive a quintuple law describing the first upwards passage event of $X$ over a fixed barrier, caused by a jump, by the joint distribution of five quantities: the time relative to the time of the previous maximum, the time of the previous maximum, the overshoot, the undershoot and the undershoot of the previous maximum. The dependence between the jumps of $X^1$ and $X^2$ is modeled by a Lévy copula. We calculate these quantities for some examples, where we pay particular attention to …
In first-passage percolation, one places nonnegative i.i.d. random variables (T (e)) on the edges of Z d. A geodesic is an optimal path for the passage times T (e). Consider a local property of the time environment. We call it a pattern. We investigate the number of times a geodesic crosses a translate of this pattern. Under mild conditions, we show that, apart from an event with exponentially small probability, this number is linear in the distance between the extremities of the geodesic.
We consider here point processes $N^f(t)$, $t>0$, with independent increments and integer-valued jumps whose distribution is expressed in terms of Bernštein functions $f$ with Lévy measure $ν$. We obtain the general expression of the probability generating functions $G^f$ of $N^f$, the equations governing the state probabilities $p_k^f$ of $N^f$, and their corresponding explicit forms. We also give the distribution of the first-passage times $T_k^f$ of $N^f$, and the related governing equation. We study in detail the cases of the fractional Poisson process, the relativistic Poisson process and…
An (upward) skip-free Markov chain with the set of nonnegative integers as state space is a chain for which upward jumps may be only of unit size; there is no restriction on downward jumps. In a 1987 paper, Brown and Shao determined, for an irreducible continuous-time skip-free chain and any d, the passage time distribution from state 0 to state d. When the nonzero eigenvalues nu_j of the generator are all real, their result states that the passage time is distributed as the sum of d independent exponential random variables with rates nu_j. We give another proof of their theorem. In the case o…
We consider the multivariate point process determined by the crossing times of the components of a multivariate jump process through a multivariate boundary, assuming to reset each component to an initial value after its boundary crossing. We prove that this point process converges weakly to the point process determined by the crossing times of the limit process. This holds for both diffusion and deterministic limit processes. The almost sure convergence of the first passage times under the almost sure convergence of the processes is also proved. The particular case of a multivariate Stein pro…
We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times of sets. The method is based on a recursive approximation of the first-passage time probability and expected occupation time of sets of a Levy bridge process that relies in part on a randomisation of the time parameter. We establish this recursion for general Levy processes and derive its explicit form for mixed-exponential jump-diffusions, a dense subclass (in the sense of weak approximation) of Levy processes, whic…
We review some of the theory relevant to passage times of one-dimensional Lévy processes out of bounded regions, highlighting results that are useful in physical phenomena modelled by heavy-tailed Lévy flights. The process is hypothesised to describe the motion of a particle on the line, starting at $0$, and exiting either a fixed interval $[-r, r]$, $r > 0$, or a time-dependent, expanding, set of intervals of the form $[-r t^κ, r t^κ]$, $r > 0$, $κ> 0$. Asymptotic behaviour of the exit time may be as $r \downarrow 0$ or as $r \to \infty$, but particular emphasis is placed herein on "small tim…
We consider the totally asymmetric simple exclusion process with initial conditions and/or jump rates such that shocks are generated. If the initial condition is deterministic, then the shock at time t will have a width of order t^{1/3}. We determine the law of particle positions in the large time limit around the shock in a few models. In particular, we cover the case where at both sides of the shock the process of the particle positions is asymptotically described by the Airy_1 process. The limiting distribution is a product of two distribution functions, which is a consequence of the fact t…
Let $ω=(ω_i)_{i\in\mathbb Z}=(μ^{L}_i,...,μ^{1}_i,λ_i)_{i\in \mathbb Z}$, which serves as the environment, be a sequence of i.i.d. random nonnegative vectors, with $L\ge1$ a positive integer. We study birth and death process $N_t$ which, given the environment $ω,$ waits at a state $n$ an exponentially distributed time with parameter $λ_n+\sum_{l=1}^Lμ^{l}_n$ and then jumps to $n-i$ with probability ${μ^i_n}/(λ_n+\sum_{l=1}^Lμ^{l}_n),$ $i=1,...,L$ or to $n+1$ with probability ${λ_n}/(λ_n+\sum_{l=1}^Lμ^{l}_n).$ A sufficient condition for the existence, a criterion for recurrence, and a law of la…
We address the question of how a localized microscopic defect, especially if it is small with respect to certain dynamic parameters, affects the macroscopic behavior of a system. In particular we consider two classical exactly solvable models: Ulam's problem of the maximal increasing sequence and the totally asymmetric simple exclusion process. For the first model, using its representation as a Poissonian version of directed last passage percolation on $\mathbb R^2$, we introduce the defect by placing a positive density of extra points along the diagonal line. For the latter, the defect is pro…
We analyze velocity-jump process models of persistent search for a single target on a bounded domain. The searcher proceeds along ballistic trajectories and is absorbed upon collision with the target boundary. When reaching the domain boundary, the searcher chooses a random direction for its new trajectory. For circular domains and targets, we can approximate the mean first passage time (MFPT) using a Markov chain approximation of the search process. Our analysis and numerical simulations reveal that the time to find the target decreases for targets closer to the domain boundary. When there is…
We study first passage statistics of the Polya urn model. In this random process, the urn contains two types of balls. In each step, one ball is drawn randomly from the urn, and subsequently placed back into the urn together with an additional ball of the same type. We derive the probability G_n that the two types of balls are equal in number, for the first time, when there is a total of 2n balls. This first passage probability decays algebraically, G_n ~ n^{-2}, when n is large. We also derive the probability that a tie ever happens. This probability is between zero and one, so that a tie may…
In first-passage percolation, we place i.i.d. continuous weights at the edges of Z^2 and consider the weighted graph metric. A distance-minimizing path between points x and y is called a geodesic, and a bigeodesic is a doubly-infinite path whose segments are geodesics. It is a famous conjecture that almost surely, there are no bigeodesics. In the '90s, Licea-Newman showed that, under a curvature assumption on the "asymptotic shape", all infinite geodesics have an asymptotic direction, and there is a full-measure set D of [0, 2 pi) such that for any theta in D, there are no bigeodesics with one…
In first-passage percolation (FPP), one places nonnegative random variables (weights) $(t_e)$ on the edges of a graph and studies the induced weighted graph metric. We consider FPP on $\mathbb{Z}^d$ for $d \geq 2$ and analyze the geometric properties of geodesics, which are optimizing paths for the metric. Specifically, we address the question of existence of bigeodesics, which are doubly-infinite paths whose subpaths are geodesics. It is a famous conjecture originating from a question of Furstenberg and most strongly supported for $d=2$ that for continuously distributed i.i.d. weights, there …
As known, the commonly-utilized ways to determine mean first-passage time $\overline{\mathcal{F}}$ for random walk on networks are mainly based on Laplacian spectra. However, methods of this type can become prohibitively complicated and even fail to work when the Laplacian matrix of network under consideration is difficult to describe in the first place. In this paper, we propose an effective approach to determining quantity $\overline{\mathcal{F}}$ on some widely-studied tree networks. To this end, we first build up a general formula between Wiener index $\mathcal{W}$ and $\overline{\mathcal{…
