Related papers: Hitting time for Bessel processes - walk on moving…

Random walks (or Markov chains) are models extensively used in theoretical computer science. Several tools, including analysis of quantities such as hitting and mixing times, are helpful for devising randomized algorithms. A notable example…

We make use of matrix representations of completely positive maps in order to study open quantum dynamics on graphs, with emphasis on quantum walks and the associated trajectories obtained via a monitoring of the position. We discuss the…

In this paper, we consider the optimal stopping problem on semi-Markov processes (SMPs) with finite horizon, and aim to establish the existence and computation of optimal stopping times. To achieve the goal, we first develop the main…

Due to the importance of the Cox-Ingersoll-Ross process in different areas of finance, a broad spectrum of studies and investigations on this model have been carried out. In case of ambiguity, we characterize it by applying the…

We look at decompositions of perpetuities and apply that to the study of the distributions of hitting times of Bessel processes of two types of square root boundaries. These distributions are linked giving a new proof of some Mellin…

We study the properties of the free boundaries and the corresponding hitting times in the context of optimal stopping in discrete time. We first prove the continuity of the map from the boundaries to the expected value of the corresponding…

We investigate the use of time-dependent surfaces in Monte Carlo transport simulation to accurately model prescribed, continuous object movements. The performance of the continuous time-dependent surface technique, relative to the typical…

We study the distributions of the continuous-time quantum walk on a one-dimensional lattice. In particular we will consider walks on unbounded lattices, walks with one and two boundaries and Dirichlet boundary conditions, and walks with…

The Hawkes process is a self-exciting sample point process. It has wide applications in finance, social networks, criminology, seismology, and many other fields. With the development of storage technology, data-driven models are attracting…

In many human-in-the-loop robotic applications such as robot-assisted surgery and remote teleoperation, predicting the intended motion of the human operator may be useful for successful implementation of shared control, guidance virtual…

This article concerns the estimation of hitting time statistics for potentially non-stationary processes. The main focus is exceedance times of environmental processes. To this end we consider an empirical estimator based on ergodic theory…

Bruss's odds theorem \cite{Bruss1} addresses the problem of determining the optimal stopping time for sequences of independent indicator functions. In this note, we derive upper and lower bounds for the success probability under the optimal…

Spatio-temporal Hawkes point processes are a particularly interesting class of stochastic point processes for modeling self-exciting behavior, in which the occurrence of one event increases the probability of other events occurring. These…

In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…

In this paper we propose the method to find the hitting probabilities for Gaussian integrators. Using second quantization we obtain the sseries representation for such probabilities despite the fact that integrators can be non-Markov…

For many measure preserving dynamical systems $(\Omega,T,m)$ the successive hitting times to a small set is well approximated by a Poisson process on the real line. In this work we define a new process obtained from recording not only the…

We consider the problem of detecting jumps in an otherwise smoothly evolving trend whilst the covariance and higher-order structures of the system can experience both smooth and abrupt changes over time. The number of jump points is allowed…

The local eigenvalue statistics of large random matrices near a hard edge transitioning into a soft edge are described by the Bessel process associated with a large parameter $\alpha$. For this point process, we obtain 1) exponential moment…

In this article we propose a Weighted Stochastic Mesh (WSM) Algorithm for approximating the value of a discrete and continuous time optimal stopping problem. We prove that in the discrete case the WSM algorithm leads to semi-tractability of…

Many security protocols rely on the assumptions on the physical properties in which its protocol sessions will be carried out. For instance, Distance Bounding Protocols take into account the round trip time of messages and the transmission…