Hitting Time
Double Barrier Hitting Time Distribution of a Mean-reverting Lognormal Process and Its Application to Pricing Exotic Options
... barrier hitting time distribution function for a ...barrier hitting time distribution function (in closed form) of the MRL-process with two parametric moving bar- riers, we are able to obtain ...
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Comparing hitting time behaviour of Markov jump processes and their diffusion approximations
... mean hitting time behaviour in a thermo- dynamic ...mean hitting time behaviour of the two models is vastly different in each ...studying hitting times allows the Markov jump and ...
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Economic hysteresis effects and hitting time densities for CIR diffusions
... Computing hitting time densities for CIR diffusions will allow us to have an idea of how long does it take for a current interest rate level to revert and hit a specific investment threshold that would ...
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Conditional Law of the Hitting Time for a Lévy Process in Incomplete Observation
... Figure 3, Figure 4 and Figure 6 are those of the conditional density f r t x ( , , ) (case of incomplete information), for fixed t = 0.1 and the variable r is such that r ∈ ] 0.1, 0.6 ] . Part II of A. Bain and D. Crisan ...
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Speed of convergence for laws of rare events and escape rates
... and Hitting Time Statistics (HTS) (see [FFT10]), which then yields a significant body of literature coming from that side on these error terms [GS97, Aba01, Aba04, AV09, AS11, ...on time and ‘length’ ...
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Some boundary hitting problems for diffusion processes
... the hitting time, the ‘ global’ behaviour o f the hitting time is best approximated using our results, which take into account the long term effects on the distribution o f the hitting ...
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A Random Walk–Based Model for Identifying Semantic Orientation
... Predicting the semantic orientation of words is a very interesting task in natural lan- guage processing and it has a wide variety of applications. We proposed a method for automatically predicting the semantic ...
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HittingTime.pdf
... the time T* = infinite? The answer is: it depends on the ...finite time (even being a very long ...first hitting time become a useless concept in this case for practical ...
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Hitting statistics from quantum jumps
... the hitting time for a model of continuous-time open quantum walks in terms of quantum ...continuous-time hitting problem is amenable to analysis via quantum jumps: The hitting ...
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Transposition errors in diffusion based mobile molecular communication
... first hitting time distribution taking into account a moving TX and RX and then we evaluate the derived expression for different parameters and verify it through a particle-based ...
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Identifying the Semantic Orientation of Foreign Words
... posed method is based on creating a multilingual network of words that represents both English and foreign words. The network has English-English connections, as well as foreign-foreign connections and English-foreign ...
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Hitting the Right Paraphrases in Good Time
... first time. Hitting time has the property of be- ing robust to ...(2003), hitting time has the drawback of being sensitive to portions of the graph that are far from the start node ...
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Choice and bias in random walks
... cover time of bounded-degree ...the hitting time of a vertex takes polynomial time, whereas computing one to minimise the cover time is ...
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First passage and first hitting times of Lévy flights and Lévy walks
... first-hitting time PDF from simulations of a searcher jumping according to a Lévy stable jump length distribution, we need to endow the target with a fi nite size ...the time resolution and the ...
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Weak Poincaré inequalities and hitting times for jump processes
... The hitting time and weak Poincaré inequality with Dirichlet boundary In this section, we prove that some integrability of hitting times on a subset F implies that the taboo process restricted on E \ ...
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Random Timestepping Algorithm with Exponential Distribution for Pricing Various Structures of One Sided Barrier Options
... exit time or functional of the exit time of one dimensional diffusion models such as barrier options in environment of Black-Scholes ...The hitting time errors are also discussed and ...
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Two critical issues in Langevin simulation of gas flows
... large time step, we perform simulation for Argon gas molecules confined in one- dimensional ...calculating time step is 10 , where is the mean collision time of ...the hitting time, ...
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Rare events for the Manneville Pomeau map
... We note that from a more probabilistic direction, such as processes under certain mixing conditions, which can be related to some symbolic dynamical systems, there is related work on Hitting Time ...
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Optimal Hitting Sets for Combinatorial Shapes
... Naor and Naor [20] constructed ε-PRGs for parity tests of bits (alphabet size 2) with a seed length of O(log n + log(1/ε )) that is optimal up to a constant factor [4]; these results were extended by Lovett, Reingold, ...
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Hitting and Commute Times in Large Random Neighborhood Graphs
... Negative implication: Hitting and commute times can be misleading. Our approximation result shows that the commute distance does not take into account any global properties of the data in large geometric graphs. ...
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