Related papers: Hitting time for one class of Gaussian proccesses
We investigate the hitting times of random walks on graphs, where a hitting time is defined as the number of steps required for a random walker to move from one node to another. While much of the existing literature focuses on calculating…
In this paper we pursue and complete the study of the simulation of the hitting time of some given boundaries for Bessel processes. These problems are of great interest in many application fields as finance and neurosciences. In a previous…
Motivated by applications in telecommunications, computer scienceand physics, we consider a discrete-time Markov process withrestart. At each step the process eitherwith a positive probability restarts from a given distribution, orwith the…
New algorithms for computing power moments of hitting times and accumulated rewards of hitting type for semi-Markov processes. The algorithms are based on special techniques of sequential phase space reduction and recurrence relations…
The aim of this paper is to develop novel quantum algorithms for Gaussian process quadrature methods. Gaussian process quadratures are numerical integration methods where Gaussian processes are used as functional priors for the integrands…
In this article we investigate the hitting time of some given boundaries for Bessel processes. The main motivation comes from mathematical finance when dealing with volatility models, but the results can also be used in optimal control…
In this paper, we show how to use stochastic approximation to compute hitting time of a stochastic process, based on the study of the time for a fluid approximation of this process to be at distance 1/N of its fixed point. This approach is…
The computation of Gaussian orthant probabilities has been extensively studied for low-dimensional vectors. Here, we focus on the high-dimensional case and we present a two-step procedure relying on both deterministic and stochastic…
We consider the problem of characterising expected hitting times and hitting probabilities for imprecise Markov chains. To this end, we consider three distinct ways in which imprecise Markov chains have been defined in the literature: as…
The Poisson process of order $i$ is a weighted sum of independent Poisson processes and is used to model the flow of clients in different services. In the paper below we study some extensions of this process, for different forms of the…
In this work we review the application of the theory of Gaussian processes to the modeling of noise in pulsar-timing data analysis, and we derive various useful and optimized representations for the likelihood expressions that are needed in…
We present a method for computing the likelihood of a mixed hitting-time model that specifies durations as the first time a latent L\'evy process crosses a heterogeneous threshold. This likelihood is not generally known in closed form, but…
The analysis of non-real-valued data, such as binary time series, has attracted great interest in recent years. This manuscript proposes a post-selection estimator for estimating the coefficient matrices of a high-dimensional generalized…
The hitting and mixing times are two fundamental quantities associated with Markov chains. In Peres and Sousi[PS2015] and Oliveira[Oli2012], the authors show that the mixing times and "worst-case" hitting times of reversible Markov chains…
We analyze the Gaussian approximation as a method to obtain the first and second moments of a stochastic process described by a master equation. We justify the use of this approximation with ideas coming from van Kampen's expansion approach…
We consider the first hitting times of the Bessel processes. We give explicit expressions for the distribution functions and for the densities by means of the zeros of the Bessel functions. The results extend the classical ones and cover…
We define the hitting time for a Markov decision process (MDP). We do not use the hitting time of the Markov process induced by the MDP because the induced chain may not have a stationary distribution. Even it has a stationary distribution,…
Estimating the probability of failure for expensive simulations is a central task in reliability analysis for structural design, power grid design, and safety certification, among other areas. This work derives credible intervals on the…
Previous work has shown the effectiveness of random walk hitting times as a measure of dissimilarity in a variety of graph-based learning problems such as collaborative filtering, query suggestion or finding paraphrases. However,…
Computation of moments of transformed random variables is a problem appearing in many engineering applications. The current methods for moment transformation are mostly based on the classical quadrature rules which cannot account for the…