time to first passage
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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Exit Probability and First Passage Time of a Lazy Pearson Walker: Scaling Behaviour
... of first passage time of the Browian motion conditioned by maximum value of the area [12] is studied ...the first pas- sage time in complex scale invariant media was studied very ...
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Portfolio Selection in Mean Minimum Return Level Expected Bounded First Passage Time Framework
... expected first passage time bounded by investment horizon as a third dimension used for decision ...the first passage time of portfolio return process towards the minimum ...
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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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The Simulation and Approximation of the First Passage Time of the Ornstein--Uhlenbeck Process of Neuron
... To study the properties of the models themselves, approximation methods for model are very useful sometimes. Charles E. Smith summarized the approximation methods for the first passage time in [37] and [36]. ...
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ON THE FIRST PASSAGE g-MEAN-VARIANCE OPTIMALITY FOR DISCOUNTED CONTINUOUS-TIME MARKOV DECISION PROCESSES
... In many real situations, there exist more than one such optimal policies, and thus it is meaningful to identify the policies which are with the smallest variance in this class of optimal policies. The corresponding ...
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Results related to first passage time problems and some of their applications
... can make use of the theory of Chapter 1. The generators of the P.P.T.D. lack complete generality only in that they must decompose into the difference of two independent n o n negative random v a r i a b l e s . It is ...
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Sign changes as a universal concept in first passage time calculations
... the first time. Such first-passage time (FPT) problems are ubiquitous in the physical sciences, and applications in- clude trapping reactions [1], earthquakes [2], goodness-of- fit ...
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First passage and first hitting times of Lévy flights and Lévy walks
... the time to activation in cases like Gerstein’s and Mandelbrot’s model of neurons [92], and resonant activation ...itsfirst passage, where results can be heuristically motivated from fi rst-passage ...
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A survey of generalized inverses and their use in stochastic modelling
... so that we have a much easier procedure for classifying the g-inverses of I – P. Knowledge of the parameters α , β , γ can provide useful information in determining the stationary distribution and moments of the ...
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First passage times of diffusion processes and their applications to finance
... The third topic is independent 2 to previous discussions about the first passage time. It focuses on financial regulation and provides two risk capital allocation schemes under the Fundamental Review ...
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Dynamical Process on Growing Geometrical Network Based on Modular Group
... relaxation time, mean first passage time (MFPT), random walk centrality (RWC), average trapping time (ATT) and global mean first passage time ...
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First–Passage Time Moment Approximation for the General Diffusion Process to a General Moving Barrier
... the first – passage time to a barrier, absorbing or reflecting, located some distance from an initial starting point of the ...the first passage time of a Wiener process to a ...
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First passage times over stochastic boundaries for subdiffusive processes
... kinetic process [14]. Moreover, in functional analysis, these processes appear in the stochas- tic representation of solutions of fractional Cauchy problems defined similarly to the classical Cauchy problem by replacing ...
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First passage times in integrate and fire neurons with stochastic thresholds
... dX = −γXdt + √ DdW . (5) Here, γ is the inverse of the correlation time of the OUP, D is a positive constant, and dW is the increment of a standard Wiener process W . We choose the initial condition X (0) = 0 such ...
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Random walks on complex trees
... counterparts. First, both the vertex discovery rate and the mean topological displacement from the origin present a considerable slowing down in the tree ...mean first passage time (MFPT) ...
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Understanding the Action Potential Generation in the Hodgkin-Huxley model
... The time epoch when the membrane potential reaches a certain threshold value for the first time is called as FPT (first passage time) ...The first passage ...
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Estimation of Mean Transition Time using Markov Model and Comparison of risk factors of malnutrition using Markov Regression to Generalized Estimating Equations and Random Effects Model in a Longitudinal Study.
... Several approaches have been proposed to model binary outcomes that arise from longitudinal studies. Most of the approaches can be grouped into two classes: the population-averaged and subject-specific approaches. The ...
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Behaviour of passage time for a queueing network model with feedback: a simulation study
... Regenerative method for simulation analysis. We have seen that in the presence of certain regularity conditions, a regenerative stochastic process { X(t) : t ≥ 0 } has a limiting distribution provided that the expected ...
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Detecting changes in the annual movements of terrestrial migratory species: using the first-passage time to document the spring migration of caribou
... Division, First Air, Fédération québécoise des chasseurs et pêcheurs, Fondation de la Faune du Québec, Institute for Environmental Monitoring and Research, Canadian Wildlife Federation, and Canada Foundation for ...
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