The first passage time has many applications in fields like finance,econometrics,statistics,and biology.However,explicit formulas for the first passage density have only been obtained for a few cases.This paper derives an explicit formula for the first passage density of Brownian motion with twosided piecewise continuous boundaries which may have some points of discontinuity.Approximations are used to obtain a simplified formula for estimating the first passage density.Moreover,the results are also generalized to the case of two-sided general nonlinear boundaries.Simulations can be easily carried out with Monte Carlo method and it is demonstrated for several typical two-sided boundaries that the proposed approximation method offers a highly accurate approximation of first passage density.
The influence of Brownian motion and thermophoresis on a fluid containing nanoparticles flowing over a stretchable cylinder is examined.The classical Navier-Stokes equations are considered in a porous frame.In addition,the Lorentz force is taken into account.The controlling coupled nonlinear partial differential equations are transformed into a system of first order ordinary differential equations by means of a similarity transformation.The resulting system of equations is solved by employing a shooting approach properly implemented in MATLAB.The evolution of the boundary layer and the growing velocity is shown graphically together with the related profiles of concentration and temperature.The magnetic field has a different influence(in terms of trends)on velocity and concentration.
This paper considers the compound Poisson risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. It is assumed that the insurance company’s portfolio is governed by two classes of policyholders. On the one hand, the first class where the amount of claims is high, and on the other hand, the second class where the amount of claims is low, this difference in claim amounts has significant implications for the insurance company’s pricing and risk management strategies. When policyholders are in the first class, they pay an insurance premium of a constant amount c1 and when they are in the second class, the premium paid is a constant amount c2 such that c1 > c2. The nature of claims (low or high) is measured via random thresholds . The study in this work will focus on the determination of the integro-differential equations satisfied by Gerber-Shiu functions and their Laplace transforms in the risk model perturbed by Brownian motion with variable premium and dependence between claims amounts and inter-claim times via Spearman copula. .
In the past few years,attention has mainly been focused on the symmetric Brownian motor(BM)with Gaussian noises,whose current and energy conversion efficiency are very low.Here,we investigate the operating performance of the symmetric BM subjected to Lévy noise.Through numerical simulations,it is found that the operating performance of the motor can be greatly improved in asymmetric Lévy noise.Without any load,the Lévy noises with smaller stable indexes can let the motor give rise to a much greater current.With a load,the energy conversion efficiency of the motor can be enhanced by adjusting the stable indexes of the Lévy noises with symmetry breaking.The results of this research are of great significance for opening up BM’s intrinsic physical mechanism and promoting the development of nanotechnology.
