In the present work, we consider spectrally positive Lévy processes $(X_t,t\ge 0)$ not drifting to $+\infty$ and we are interested in conditioning these processes to reach arbitrarily large heights (in the sense of the height process associated with $X$) before hitting $0$. This way we obtain a new conditioning of Lévy processes to stay positive. The (honest) law ${\mathbb{P}}_x^{☆}$ of this conditioned process (starting at $xgt;0$) is defined as a Doob $h$-transform via a martingale. For Lévy processes with infinite variation paths, this martingale...

It is well established that resource variability generated by spatial patchiness and turbulence is an important influence on the growth and recruitment of planktonic fish larvae. Empirical data show fractal-like prey distributions, and simulations indicate that scale-invariant foraging strategies may be optimal. Here we show how larval growth and recruitment in a turbulent environment can be formulated as a hitting time problem for a jump-diffusion process. We present two theoretical results. Firstly,...

Let ${\tau }_D\left(Z\right)$ be the first exit time of iterated Brownian motion from a domain $D\subset {ℝ}^n$ started at $z\in D$ and let $P_z[{\tau }_D\left(Z\right)>t]$ be its distribution. In this paper we establish the exact asymptotics of $P_z[{\tau }_D\left(Z\right)>t]$ over bounded domains as an improvement of the results in DeBlassie (2004) [DeBlassie, Ann. Appl. Prob.14 (2004) 1529–1558] and Nane (2006) [Nane, Stochastic Processes Appl.116 (2006) 905–916], for $z\in D$
 ${\displaystyle \underset{t\to \infty }{lim}{t}^{-1/2}exp\left(\frac{3}{2}{\pi }^{2/3}{\lambda }_D^{2/3}{t}^{1/3}\right)P_z[{\tau }_D\left(Z\right)>t]=C\left(z\right),}$
where $C\left(z\right)=\left({\lambda }_D{2}^{7/2}\right)/\sqrt{3\pi }{\left(\psi \left(z\right){\int }_D\psi \left(y\right)\mathrm{d}y\right)}^2$. Here λD is the first eigenvalue of the Dirichlet Laplacian $\frac{1}{2}\Delta$ in D, and ψ is the eigenfunction corresponding...

We consider transient random walks in random environment on $\mathbb{Z}$ with zero asymptotic speed. A classical result of Kesten, Kozlov and Spitzer says that the hitting time of the level $n$ converges in law, after a proper normalization, towards a positive stable law, but they do not obtain a description of its parameter. A different proof of this result is presented, that leads to a complete characterization of this stable law. The case of Dirichlet environment turns out to be remarkably explicit.

We consider excited random walks (ERWs) on ℤ with a bounded number of i.i.d. cookies per site without the non-negativity assumption on the drifts induced by the cookies. Kosygina and Zerner [15] have shown that when the total expected drift per site, δ, is larger than 1 then ERW is transient to the right and, moreover, for δ>4 under the averaged measure it obeys the Central Limit Theorem. We show that when δ∈(2, 4] the limiting behavior of an appropriately centered and scaled excited random...

We find limit shapes for a family of multiplicative measures on the set of partitions, induced by exponential generating functions with expansive parameters, ak∼Ckp−1, k→∞, p>0, where C is a positive constant. The measures considered are associated with the generalized Maxwell–Boltzmann models in statistical mechanics, reversible coagulation–fragmentation processes and combinatorial structures, known as assemblies. We prove a central limit theorem for fluctuations of a properly scaled partition...