相关论文: First Passage Time for Multivariate Jump-diffusion…

The continuous time stochastic process is a mainstream mathematical instrument modeling the random world with a wide range of applications involving finance, statistics, physics, and time series analysis, while the simulation and analysis…

We derive a general exact formula for the mean first passage time (MFPT) from a fixed point inside a planar domain to an escape region on its boundary. The underlying mixed Dirichlet-Neumann boundary value problem is conformally mapped onto…

We present a numerical method for the Monte Carlo simulation of uncoupled continuous-time random walks with a Levy alpha-stable distribution of jumps in space and a Mittag-Leffler distribution of waiting times, and apply it to the…

Many problems in finance are related to first passage times. Among all of them, we chose three on which we contributed personally. Our first example relates Kolmogorov-Smirnov like goodness-of-fit tests, modified in such a way that tail…

The explicit determinations of the mean first-passage time (MFPT) for trapping problem are limited to some simple structure, e.g., regular lattices and regular geometrical fractals, and determining MFPT for random walks on other media,…

The mean first passage time, one of the important characteristics for a stochastic process, is often calculated assuming the observation time is infinite. However, in practice, the observation time, T, is always finite and the mean first…

The first passage time for a single diffusing particle has been studied extensively, but the first passage time of a system of many diffusing particles, as is often the case in physical systems, has received little attention until recently.…

The first-passage time (FPT) is the time it takes a system variable to cross a given boundary for the first time. In the context of Markov networks, the FPT is the time a random walker takes to reach a particular node (target) by hopping…

Many physical, chemical, and biological systems depend on the first passage time (FPT) of a diffusive searcher to a target. Typically, this FPT is much slower than the characteristic diffusion timescale. For example, this is the case if the…

This work develops Monte Carlo Euler adaptive time stepping methods for the weak approximation problem of jump diffusion driven stochastic differential equations. The main result is the derivation of a new expansion for the omputational…

Above two dimensions, diffusion of a particle in a medium with quenched random traps is believed to be well-described by the annealed continuous time random walk (CTRW). We propose an approximate expression for the first-passage-time (FPT)…

This study investigates the first passage time (FPT) properties of particles with a broad class of positive stochastic diffusion coefficients (DCs), representing diffusion in heterogeneous environments or of particles with conformational…

New theorems for the moments of the first passage time of one dimensional nonlinear stochastic processes with an entrance boundary are formulated. This important class of one dimensional stochastic processes results among others from…

We investigate two coupled properties of Levy stable random motions: The first passage times (FPTs) and the first passage leapovers (FPLs). While, in general, the FPT problem has been studied quite extensively, the FPL problem has hardly…

We develop an asynchronous event-driven First-Passage Kinetic Monte Carlo (FPKMC) algorithm for continuous time and space systems involving multiple diffusing and reacting species of spherical particles in two and three dimensions. The…

Statistical inference for discretely observed jump-diffusion processes is a complex problem which motivates new methodological challenges. Thus existing approaches invariably resort to time-discretisations which inevitably lead to…

We study the similarities and differences between different models concerning subdiffusion. More particularly, we calculate first passage time (FPT) distributions for subdiffusion, derived from Greens' functions of nonlinear equations…

We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processes from this class. However, should the…

We consider a continuous-time random walk model with finite-mean waiting-times and we study the mean first-passage time (MFPT) as estimated by an observer in a reference frame $\mathcal{S}$, that is co-moving with a target, and by an…

We develop a new Monte Carlo variance reduction method to estimate the expectation of two commonly encountered path-dependent functionals: first-passage times and occupation times of sets. The method is based on a recursive approximation of…