First Passage
Gambler’s Ruin and First Passage Time »
... We investigate the classical problem of a gambler repeatedly betting $1 on the flip of a potentially biased coin until he either loses all his money or wins the money of his opponent. This is then extended to the case of ...
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Brownian Motion of Decaying Particles: Transition Probability, Computer Simulation, and First Passage Times
... mean first-passage time to absorbing boundaries is solved in Section ...to first-passage time results that differ markedly from corresponding results for a stable ...
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Exit Probability and First Passage Time of a Lazy Pearson Walker: Scaling Behaviour
... The Pearson walk [20] is a variant of random walk which shows many interesting results. This is defined as the walker that may choose any direction randomly, instead of taking specified direction in lattices. This ...
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Results related to first passage time problems and some of their applications
... the first passage time probabilities is unity for all non-degenerate types ...the first passage time dis tribution (henceforth abbreviated ...
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First–Passage Time Moment Approximation for the General Diffusion Process to a General Moving Barrier
... Therefore, first – passage time play an important role in the area of applied probability theory especially in stochastic ...the first – passage times to a moving barriers for diffusion and ...
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First passage times over stochastic boundaries for subdiffusive processes
... We proceed by providing a detailed analysis of the cases where either k is a stable subor- dinator or X is spectrally negative. Our proofs hinge on a variety of techniques including excursion theory, change of measure, ...
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Simple procedures for finding mean first passage times in Markov chains
... The derivation of mean first passage times in Markov chains involves the solution of a family of linear equations. By exploring the solution of a related set of equations, using suitable generalized ...
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Some remarks on first passage of Lévy processes, the American put and pasting principles
... for first passage problems of different Lévy processes and their connection to the American put optimal stopping problem which have appeared in recent literature and to explain precisely when smooth pasting ...
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First passage events in biological systems with non-exponential inter-event times
... It is often possible to model the dynamics of biological systems as a series of discrete transitions between a finite set of observable states (or compartments). When the residence times in each state, or inter-event ...
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Exploring the environmental drivers of waterfowl movement in arid landscapes using first-passage time analysis
... landscapes. Barberspan lies in an arid summer rainfall re- gion, whereas Strandfontein is a winter rainfall region with less variability in the timing and amount of precipitation (Appendix 3). The landscape surrounding ...
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Ring structures and mean first passage time in networks
... probability of going from ring i to ring j. By definition of rings it is clear that it is not possible to move from a ring to a non-adjacent other ring, while it is obviously possible to move inside a ring, and in this ...
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Generalized inverses, stationary distributions and mean first passage times with applications to perturbed Markov chains
... mean first passage times involves either the computation of a matrix inverse or a matrix generalized inverse, we consider those techniques for solving the stationary distributions using generalized ...mean ...
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First passage times in integrate and fire neurons with stochastic thresholds
... and a fluctuating firing threshold (see e.g. [30]). Indeed our model is closely related to a leaky IF model driven by white noise and subject to an exponentially decaying firing threshold [31]. The time–dependent firing ...
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First passage times of diffusion processes and their applications to finance
... The third topic is independent 2 to previous discussions about the first passage time. It focuses on financial regulation and provides two risk capital allocation schemes under the Fundamental Review of ...
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Sign changes as a universal concept in first passage time calculations
... the first time. Such first-passage time (FPT) problems are ubiquitous in the physical sciences, and applications in- clude trapping reactions [1], earthquakes [2], goodness-of- fit tests [3], habitat ...
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ON THE FIRST PASSAGE g-MEAN-VARIANCE OPTIMALITY FOR DISCOUNTED CONTINUOUS-TIME MARKOV DECISION PROCESSES
... first passage g-mean-based variance minimization problem to a first passage mean minimization problem, we show the existence of a first passage g-mean-variance optimal policy, and provide its ...
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First passage processes in Queuing system MX/Gr/1 with service delay discipline
... Queueing process, embedded Markov chain, semi-Markov process, semi-regenerative process, modulated random measure, service cycle, idle period, busy period, output process, continuous tim[r] ...
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Stochastic ordering for first passage times of diffusion processes through boundaries
... Here we make use of FPTs ordering to pursue different objectives. First "'Ie show how use of theorems 2-3 can help to investigate the dependence of FPTs distributions from the proces[r] ...
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First passage and first hitting times of Lévy flights and Lévy walks
... When a stochastic process x(t) first reaches a given threshold value in many scenarios follow-up events are triggered: shares are sold when their value crosses a pre-set target amount, or chemical reactions occur when two ...
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The effect of a random initial value in neural first-passage-time models
... Uhlenbeck process. For model 0) different distributions for the initial value lead. to commonly observed interspike interval distributions[r] ...
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