Mean First Passage time (MPT)
Ring structures and mean first passage time in networks
... the mean first passage time (MFPT) on generic ...the mean first passage time on a node s for a random walker starting from a generic, unknown, node ...We ...
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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
... the 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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Exit Probability and First Passage Time of a Lazy Pearson Walker: Scaling Behaviour
... Residual Mean First-Passage Time for Jump Processes: Theory and Applications to Lévy Flights and Fractional Brownian ...and Time Interval between the First Two Maxima of Long ...
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CiteSeerX — On the inverse mean first passage matrix problem and the inverse M-matrix problem, Linear Algebra Appl
... inverse mean first passage time problem is given a positive matrix M ∈ R n,n , then when does there exist an n–state discrete– time homogeneous ergodic Markov chain C, whose mean ...
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ON THE FIRST PASSAGE g-MEAN-VARIANCE OPTIMALITY FOR DISCOUNTED CONTINUOUS-TIME MARKOV DECISION PROCESSES
... given mean performance g up to the first passage of the continuous-time MDP to an arbitrarily fixed target ...the first passage variance over the set F g using a transformation ...
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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 ...
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Gambler’s Ruin and First Passage Time »
... at time t is a nor- mally distributed random variable with mean A + d t and variance c t, where A is the initial value, and d and c (introduced earlier) are the so-called drift and diffusion coefficients, ...
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Stationary distributions and mean first passage times of perturbed Markov chains
... Abstract Stationary distributions of perturbed finite irreducible discrete time Markov chains are intimately connected with the behaviour of associated mean first passage times. This ...
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Credit gap risk in a first passage time model with jumps
... root mean square error of model and market term ...same time the model may be calibrated to a wide range of dynamical ...the first passage time model vanishes as maturity of the ...
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Mean first passage times in variational coarse graining using Markov state models
... in the double well two-state clustering and triple well three-state clustering these boundaries are what we would expect to see intuitively. In the two-state clustering of the triple well potential, Eq. (42) is ...
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Generalized inverses, stationary distributions and mean first passage times with applications to perturbed Markov chains
... that 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 ...
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The Simulation and Approximation of the First Passage Time of the Ornstein--Uhlenbeck Process of Neuron
... the simulated FPT very much, depending on the thresholds. This result is not surprising because when σ is large, its higher order power in the Taylor’s series will dominate the approximation results. Since the original ...
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Introduction of First Passage Time (FPT) Analysis for Software Reliability and Network Security
... The mean time to failure (MTTF) in reliability analysis may also be generalized as a FPT ...failure time random variable. The FPT is the time when a stochastic process crosses some threshold ...
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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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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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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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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 passage of time
... quickly time is passing is analogous to asking ‘How dense is space?’ To ask this is to ask what quantity of space occupies a spatial region of one cubic centimetre, ...
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