We obtain a formula for the distribution of the first exit time of Brownian motion from a fundamental region associated with a finite reflection group. In the type A case it is closely related to a formula of de Bruijn and the exit probability is expressed as a Pfaffian. Our formula yields a generalisation of de Bruijn's. We derive large and small time asymptotics, and formulas for expected first exit times. The results extend to other Markov processes. By considering discrete random walks in the type A case we recover known formulas for the number of standard Young tableaux with bounded height
We supplement a very recent paper of G. Markowsky concerned with the expected exit times of Brownian...
Reflected Brownian motion is used in areas such as physiology, electrochemistry and nuclear magnetic...
International audienceIn order to approximate the exit time of a one-dimensional diffusion process, ...
We obtain a formula for the distribution of the first exit time of Brownian motion from the alcove o...
Summary. For a fairly general class of cones in n dimensions (n>3) we determine the corresponding...
In this paper we obtain lower bounds for the tails of the distributions of the first passage-times f...
AbstractWe derive the distribution of the first exit value for a class of symmetric real-valued Mark...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
In this note, we explore applications of a known lemma which relates the expected exit time of Brown...
In this note we study standard Euler updates for computing first exit times of general diffusions fr...
Reflected Brownian motion is used in areas such as physiology, electrochemistry and nuclear magnetic...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
Reflected Brownian motion is used in areas such as physiology, electrochemistry and nuclear magnetic...
We supplement a very recent paper of G. Markowsky concerned with the expected exit times of Brownian...
Reflected Brownian motion is used in areas such as physiology, electrochemistry and nuclear magnetic...
International audienceIn order to approximate the exit time of a one-dimensional diffusion process, ...
We obtain a formula for the distribution of the first exit time of Brownian motion from the alcove o...
Summary. For a fairly general class of cones in n dimensions (n>3) we determine the corresponding...
In this paper we obtain lower bounds for the tails of the distributions of the first passage-times f...
AbstractWe derive the distribution of the first exit value for a class of symmetric real-valued Mark...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
In this note, we explore applications of a known lemma which relates the expected exit time of Brown...
In this note we study standard Euler updates for computing first exit times of general diffusions fr...
Reflected Brownian motion is used in areas such as physiology, electrochemistry and nuclear magnetic...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
Reflected Brownian motion is used in areas such as physiology, electrochemistry and nuclear magnetic...
We supplement a very recent paper of G. Markowsky concerned with the expected exit times of Brownian...
Reflected Brownian motion is used in areas such as physiology, electrochemistry and nuclear magnetic...
International audienceIn order to approximate the exit time of a one-dimensional diffusion process, ...