First passage time distribution for ring escape
Ring structures and mean first passage time in networks
... Even if this new method is promising, analytical results are difficult to obtain for non random graphs. However, quite surprisingly, we have found that MFPT calculated with our theory for ER graphs are in excellent ...
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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 distribution of the first-passage times for the net number of electrons transferred ...
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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 ...the distribution of number of defaults in ...
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Results related to first passage time problems and some of their applications
... was first noted by Lindley ...the distribution of the difference between the service time and inter-arrival time from the complete set of waiting time distributions is precisely a ...
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Sign changes as a universal concept in first passage time calculations
... The specific FPT problem that we will investigate is to determine when a Gaussian process X (t), whose initial value is drawn from its stationary distribution, crosses through S(t) from above for the first ...
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The Simulation and Approximation of the First Passage Time of the Ornstein--Uhlenbeck Process of Neuron
... 2.5 Distribution Comparison Method The analysis of neural spike trains has a long history ...the distribution of the FPT, and use it to fit the model to ...FPT distribution derived by us- ing Stein’s ...
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Introduction of First Passage Time (FPT) Analysis for Software Reliability and Network Security
... mean time to failure (MTTF) in reliability analysis may also be generalized as a FPT ...probability distribution that is used to describe the failure time random ...the time when a stochastic ...
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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 ...probability distribution ( P t ( ) 1 ) of first passage time was ...
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Portfolio Selection in Mean Minimum Return Level Expected Bounded First Passage Time Framework
... Finance first to introduce the risk-return principle with the well-known Mean-Variance ...same time, one may allocate funds into assets in proportions, which while being optimal in Mean-Variance sense, can ...
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FIRST PASSAGE TIMES OF A JUMP DIFFUSION PROCESS
... exponential distribution, especially due to its memoryless property, we can solve the first passage time problems explicitly; in some sense this also suggests, though indirectly, that the Wiener–Hopf ...
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The distribution of the ring current: Cluster observations
... the ring current has been made using Cluster 4- spacecraft observations near perigee, at times when the Clus- ter array had relatively small separations and nearly regu- lar tetrahedral configurations, and when ...
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First passage and first hitting times of Lévy flights and Lévy walks
... stable distribution with the characteristic function exp ( ∣ ∣ ). The time step is chosen as - k a δ t = ...the time dependence is then simply obtained by adding the time step δt to a ...
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First passage and first hitting times of Lévy flights and Lévy walks
... full distribution of first-passage and first-hitting (or first-arrival) ...first time, or when it lands at a given point for the first ...first-hitting time distributions as functions of the Lévy ...
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First passage and first hitting times of Lévy flights and Lévy walks
... waiting time, the velocity model [43], or the space-time coupling may have a power-law type ...a distribution of velocities associated with different path lengths ...long time and ensemble ...
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First passage and first hitting times of Lévy flights and Lévy walks
... submicron tracer particles and fluorescently labelled molecules inside biological cells and their membranes [ 18 , 30 – 32 ] . Figure 1 shows a schematic representation of the various regimes. In anomalous diffusion the ...
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First passage times of diffusion processes and their applications to finance
... its first passage time are ...its distribution functions are ...exponential-Gamma distribution at infinity ...downward first passage time ...burst time of an ...
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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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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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