We introduce a mathematical framework that allows one to carry out multiscalar and
multigroup spatial exploratory analysis across urban regions. By producing coefficients that …

In this article we investigate the hitting time of some given boundaries for Bessel processes.
The main motivation comes from mathematical finance when dealing with volatility models …

We study the one-dimensional motion of a Brownian particle inside a confinement described
by two reactive boundaries which can partially reflect or absorb the particle. Understanding …

The paper addresses Brownian motion in the logarithmic potential with time-dependent
strength, U (x, t)= g (t) log (x), subject to the absorbing boundary at the origin of coordinates …

Pitman's theorem states that if {Bt, t $\ge $0} is a one-dimensional Brownian motion, then {Bt--
2 inf s $\le $ t Bs, t $\ge $0} is a three dimensional Bessel process, ie a Brownian motion …

As an example for the fast calculation of distributional parameters of Gaussian processes, a
new Monte Carlo algorithm for the computation of quantiles of the supremum norm of …

▶ Existence and uniqueness for ξ with no atoms (Chen, Cheng, et al. 2011, free boundary
problem)▶ Uniqueness (Ekström and Janson 2016, optimal stopping problem, see also …

In this paper, we complete and improve the study of the simulation of the hitting times of
some given boundaries for Bessel processes. These problems are of great interest in many …

We consider a slightly subcritical branching Brownian motion with absorption, where
particles move as Brownian motions with drift− 2+ 2 ɛ, undergo dyadic fission at rate 1, and …

We are interested in the probability that a diffusion process exits a domain between two
curved boundaries through the upper one. In case of given boundaries that problem has …