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We consider a continuous-time Ehrenfest model defined over the integers from −N to N , and subject to catastrophes occurring at constant rate. The effect of each catastrophe instantaneously resets the process to state 0. We investigate both the transient and steady-state probabilities of the above model. Further, the first passage time through state 0 is discussed. We perform a jump-diffusion approximation of the above model, which leads to the Ornstein-Uhlenbeck process with catastrophes. The underlying jump-diffusion process is finally studied, with special attention to the symmetric case arising when the Ehrenfest model has equal upward and downward transition rates.

The first-crossing-time problem through two time-dependent boundaries for one-dimensional diffusion processes is considered. The first-crossing p.d.f.'s from below and from above are proved to satisfy a new systems of Volterra integral equations of the second kind involving two arbitrary continuous functions. By a suitable choice of such funcitons a system of continuous-kernel integral equations is obtained and an efficient algorithm for its solution is provided. Conditions on the drift and infinitesimal variance of the diffusion process are given such that the system of integral equations reduces to a non-singular single one

A stochastic model for single neuron's activity is constructed as the continuous limit of a birth-and-death process in the presence of a reversal hyperpolarization potential. The resulting process is a one dimensional diffusion with linear drift and infinitesimal variance, somewhat different from that proposed by Lánský and Lánská in a previous paper. A detailed study is performed for both the discrete process and its continuous approximation. In particular, the neuronal firing time problem is discussed and the moments of the firing time are explicitly obtained. Use of a new computation method is then made to obtain the firing p.d.f. The behaviour of mean, variance and coefficient of variation of the firing time and of its p.d.f. is analysed to pinpoint the role played by the parameters of the model. A mathematical description of the return process for this neuronal diffusion model is finally provided to obtain closed form expressions for the asymptotic moments and steady state p.d.f. of the neuron's membrane potential.