Zobrazeno 1 - 10
of 120
pro vyhledávání: '"Villarroel, Javier"'
We consider the problem of determining escape probabilities from an interval of a general compound renewal process with drift. This problem is reduced to the solution of a certain integral equation. In an actuarial situation where only negative jumps
Externí odkaz:
http://arxiv.org/abs/1907.11894
Publikováno v:
In Communications in Nonlinear Science and Numerical Simulation June 2023 120
Publikováno v:
In Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear Science, and Nonequilibrium and Complex Phenomena February 2023 167
In this paper, we consider a stochastic process that may experience random reset events which relocate the system to its starting position. We focus our attention on a one-dimensional, monotonic continuous-time random walk with a constant drift: the
Externí odkaz:
http://arxiv.org/abs/1706.04812
Autor:
Montero, Miquel, Villarroel, Javier
Publikováno v:
Phys. Rev. E 94, 032132 (2016)
In this paper we consider a particular version of the random walk with restarts: random reset events which bring suddenly the system to the starting value. We analyze its relevant statistical properties like the transition probability and show how an
Externí odkaz:
http://arxiv.org/abs/1603.09239
Autor:
Montero, Miquel, Villarroel, Javier
Publikováno v:
Phys. Rev. E 87, 012116 (2013)
In this paper we consider a stochastic process that may experience random reset events which bring suddenly the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonous continuous-time random
Externí odkaz:
http://arxiv.org/abs/1206.4570
Autor:
Villarroel, Javier, Montero, Miquel
Publikováno v:
J. Phys. B-At. Mol. Opt. Phys. 43, 135404 (2010)
We consider propagation of optical pulses under the interplay of dispersion and Kerr non-linearity in optical fibres with impurities distributed at random uniformly on the fibre. By using a model based on the non-linear Schrodinger equation we clarif
Externí odkaz:
http://arxiv.org/abs/1003.4408
Autor:
Montero, Miquel, Villarroel, Javier
Publikováno v:
Phys. Rev. 82, 021102 (2010)
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it does not. Particular attention is paid to the corre
Externí odkaz:
http://arxiv.org/abs/1002.0571
Autor:
Villarroel, Javier, Montero, Miquel
Publikováno v:
Chaos, Solitons and Fractals 42, 128-137 (2009)
The usual development of the continuous-time random walk (CTRW) proceeds by assuming that the present is one of the jumping times. Under this restrictive assumption integral equations for the propagator and mean escape times have been derived. We gen
Externí odkaz:
http://arxiv.org/abs/0812.2148
Autor:
Villarroel, Javier
We present several models to describe the stochastic evolution of stocks that show some strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related in a cert
Externí odkaz:
http://arxiv.org/abs/physics/0608019