scholarly journals Exit problem for Ornstein-Uhlenbeck processes: A random walk approach

2020 ◽  
Vol 25 (8) ◽  
pp. 3199-3215
Author(s):  
Samuel Herrmann ◽  
◽  
Nicolas Massin
Keyword(s):  
Random Walk ◽  
Exit Problem

LARGE DEVIATION ASYMPTOTICS FOR RANDOM-WALK TYPE PERTURBATIONS

2007 ◽  
Vol 07 (01) ◽  
pp. 75-89
Author(s):  
ZHIHUI YANG
Keyword(s):  
Random Walk ◽  
Random Walks ◽  
White Noise ◽  
Wiener Process ◽  
Stochastic Resonance ◽  
Large Deviation ◽  
Correction Term ◽  
Exit Problem ◽  
Wiener Processes ◽  
Noise Type

Symmetric random walks can be arranged to converge to a Wiener process in the area of normal deviation. However, random walks and Wiener processes have, in general, different asymptotics of the large deviation probabilities. The action functionals for random-walks and Wiener processes are compared in this paper. The correction term is calculated. Exit problem and stochastic resonance for random-walk-type perturbation are also considered and compared with the white-noise-type perturbation.

On an exit problem in a one-dimensional random walk in the diffusion approximation

1991 ◽  
Vol 69 (10) ◽  
pp. 1284-1285
Author(s):  
Amal K. Das
Keyword(s):  
Diffusion Coefficient ◽  
Random Walk ◽  
Diffusion Approximation ◽  
Brownian Particle ◽  
Linear Chain ◽  
One Dimensional ◽  
Random Walker ◽  
Exit Problem ◽  
Traversal Time

We address a nonstandard random-walk problem in which the random walker, a Brownian particle, enters a linear chain at x = 0 and exits at x = L under the constraint that allows the particle to return to an arbitrarily close neighbourhood of the entrance point, but does not allow the entrance point to be touched back. In the diffusion approximation, the traversal time T*, calculated in an unconventional way, is found to be T/3, where T is the usual diffusion traversal time, L2/2D, D being the diffusion coefficient.

Elements of the Random Walk

2004 ◽  
Author(s):  
Joseph Rudnick ◽  
George Gaspari
Keyword(s):  
Random Walk

CUBIC [001] TWIST CSL GRAIN BOUNDARIES STUDY BY MEANS OF RANDOM WALK

1990 ◽  
Vol 51 (C1) ◽  
pp. C1-67-C1-69
Author(s):  
P. ARGYRAKIS ◽  
E. G. DONI ◽  
TH. SARIKOUDIS ◽  
A. HAIRIE ◽  
G. L. BLERIS
Keyword(s):  
Random Walk ◽  
Grain Boundaries

Random walk to graphene

2011 ◽  
Vol 181 (12) ◽  
pp. 1284 ◽  
Author(s):  
Andrei K. Geim
Keyword(s):  
Random Walk
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