First passage times
Variances of first passage times in a Markov chain with applications to mixing times
... as times to absorption in an absorbing Markov ...the first passage times arise as factorial moments involving powers of the inverse of (I − P )j ...the first and second ...
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Variances of first passage times in a Markov chain with applications to mixing times
... of first passage times in a Markov chain has attracted interest, see for example Heyman and Reeves [2], and Heyman and O’Leary ...mean first passage times, and ...“the ...
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First passage times of diffusion processes and their applications to finance
... the first passage times of time-homogeneous diffusion pro- ...the first order ...the first order results of the Bessel ...The first part conducts stochastic analysis about the ...
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On First-Passage Times and Sojourn Times in Finite QBD Processes and Their Applications in Epidemics
... 3 Department of Statistics and Data Science, School of Statistical Studies, Avda. Puerta de Hierro s/n, Complutense University of Madrid, 28040 Madrid, Spain; [email protected] * Correspondence: [email protected] or ...
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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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Stationary distributions and mean first passage times of perturbed Markov chains
... Markov chains subjected to perturbations have received attention in the literature over recent years. The major interest has focussed on the effects of perturbations of the transition probabilities on the stationary ...
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On some functionals of the first passage times in models with switching stochastic volatility
... the first passage times of the two-dimensional diffusion-type process (S, Q) defined in ...the first times at which the continuous process (S, Q) exits certain regions forming half ...
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Simple bounds on fluctuations and uncertainty relations for first-passage times of counting observables
... School of Physics and Astronomy and Centre for the Mathematics and Theoretical Physics of Quantum Non-equilibrium Systems, University of Nottingham, Nottingham NG7 2RD, United Kingdom (Received 10 January 2017; published ...
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Brownian Motion of Decaying Particles: Transition Probability, Computer Simulation, and First Passage Times
... the first particle did not reach the boundary before decaying, and the second particle, which began a new process, reached the boundary after a diffusion time of t b − t d 1 = 92 ...the first time at time ...
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Mean first passage times in variational coarse graining using Markov state models
... Furthermore, we also showed on analytical examples 24 that such optimal boundaries are identical with the ones obtained using the local equilibrium definition at long lagtimes. These results so far all apply for ...
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Generalized inverses, stationary distributions and mean first passage times with applications to perturbed Markov chains
... mean first passage times play an important role in determining bounds on the relative and absolute differences between the stationary probabilities in perturbed finite irreducible discrete time ...
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Accurate calculations of Stationary Distributions and Mean First Passage Times in Markov Renewal Processes and Markov Chains
... DOI 10.1515/spma-2016-0015 Received October 5, 2015; accepted February 14, 2016 Abstract: This article describes an accurate procedure for computing the mean first passage times of a finite ...
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FIRST PASSAGE TIMES OF A JUMP DIFFUSION PROCESS
... first passage times to flat boundaries for a double exponential jump diffusion process, which consists of a continuous part driven by a Brownian motion and a jump part with jump sizes having a double ...
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First passage times over stochastic boundaries for subdiffusive processes
... waiting times) [29], the scaling limit of random walks in random environment [5], and also the (surprising) intermediate time behaviour of some periodic diffusive flows which gives rise to the ...
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First passage times in integrate and fire neurons with stochastic thresholds
... This transformation also allows for a perturbative calculation of the first passage time histograms. In turn this provides quantitative insights into the mechanisms that lead to the non-monotonic behaviour ...
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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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Extension of First Passage Probability
... the first time. We refer to X ij as the first passage ...the first passage probability as f ij pkq “ P pX ij “ ...the first passage ...1996). First passage ...
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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 ...of first passage time models in the simple ...
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Universal First-Passage-Time Distribution of Non-Gaussian Currents
... the first-passage times for the net number of electrons transferred between two metallic islands in Coulomb blockade ...exact first-passage-time distributions for any non-equilibrium ...
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First passage and first hitting times of Lévy flights and Lévy walks
... for the searcher ’ s position x n , where ξ α ( n ) is a set of random variables sampled from a symmetric Lévy stable distribution with the characteristic function exp ( ∣ ∣ ). The time step is chosen as - k a δ t = ...
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