First Passage Time
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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First-passage-time problems in time-aware networks
... Here, we are able to solve the first-passage-time problems for explicit solution for the Brownian motion with quadratic drift, for a special case of multi-dimension[r] ...
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A First Passage Time Model for Counterparty Default
... tractable first passage time model, which is able to capture the correlation between the default and market risk factor, particularly interest ...
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Ring structures and mean first passage time in networks
... mean first passage time (MFPT) on generic ...mean first passage time on a node s for a random walker starting from a generic, unknown, node ...We first apply the method to ...
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On the Probabilities of Correlated Defaults: a First Passage Time Approach
... the first passage time model by defining the default dependence in two directions: by extending to multi-dimension and by incorporating stochastic ...
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Credit dynamics in a first passage time model with jumps
... a first passage time model, the computation of default proba- bilities is equivalent to computing the distributions of first passage ...a time-dependent barrier, but already in ...
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Results related to first passage time problems and some of their applications
... Chapter 3 » The inequalities Pr (Sn « A) * Pn (A) > n " 1 Pr (Sn o) enable us to study the moments of the first passage time dis tribution via a study of the convergence properties of the series 2 n^ ...
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Universal First-Passage-Time Distribution of Non-Gaussian Currents
... the time elapsed until the electric charge transferred through a conductor reaches a given threshold ...the first-passage times for the net number of electrons transferred between two metallic ...
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Sign changes as a universal concept in first passage time calculations
... of first-passage time problems to direct numerical ...of first-passage time distributions for the wide class of non-differentiable Gaussian ...determine ...
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Credit gap risk in a first passage time model with jumps
... same time the model may be calibrated to a wide range of dynamical ...the first passage time model vanishes as maturity of the underlying CDS is approached, thereby excluding short-term ...
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A canonical first passage time model to pricing nature-linked bonds
... computing first-passage time distributions of jump- diffusion processes, as bondholders are short on digital options based on risk-tracking ...
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Introduction of First Passage Time (FPT) Analysis for Software Reliability and Network Security
... over time and very difficult to detect with short term ...the first passage time, which can be the time when the system breaks down or when the hacker is successful in compromising a ...
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Exit Probability and First Passage Time of a Lazy Pearson Walker: Scaling Behaviour
... The first passage time ( t 1 ) i.e., the time required for first exit from a zone is ...of first passage time was studied for different values of jump probability ...
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Bankruptcy Prediction of Corporate Coupon Bond with Modified First Passage Time Approach
... the First Passage ...default time definition of Black and Cox theory does not reflect economic reality ...classic First Passage Time Approach, and re-defining the formula of ...
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First–Passage Time Moment Approximation for the General Diffusion Process to a General Moving Barrier
... the first-passage times to a moving barrier for diffusion and other Markov processes arises in biological modeling, population growth, statistics, engineering, ...the first – passage ...
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Exploring the environmental drivers of waterfowl movement in arid landscapes using first-passage time analysis
... period, with a peak occurring at 4 months post rainfall [26]. Our finding that teal responded to rainfall at a 32 day lag rather than a 16 day lag might be explained by their niche breadth. Petrie [57] showed that teal ...
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Portfolio Selection in Mean Minimum Return Level Expected Bounded First Passage Time Framework
... bounded First Passage Time (FPT) towards the ...and time to such an event ...bounded first pas- sage time towards MRL and taking its expectation into consideration as an ...
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Asymptotic Analysis for the Mean First Passage Time in Finite or Spatially Periodic 2-D Domains with a Cluster of Small Traps
... mean first passage time and the splitting probability for a Brownian particle in a bounded 2-D domain that contains absorbing disks, referred to as “traps”, of asymptotically small ...
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First-Passage Time Models with a Stochastic Time Change in Credit Risk
... Following on the heels of these asset price models, it is natural to extend structural credit models by using a time-changed geometric Brownian motion and other jump-diffusion process[r] ...
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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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