Solutions of the First-Passage Problem by Importance Sampling

2003 ◽  
pp. 401-413
Author(s):  
Christian Bucher ◽  
Michael Macke
Keyword(s):  
Importance Sampling ◽  
First Passage ◽  
First Passage Problem

On first passage times of sticky reflecting diffusion processes with double exponential jumps

2020 ◽  
Vol 57 (1) ◽  
pp. 221-236 ◽  
Author(s):  
Shiyu Song ◽  
Yongjin Wang
Keyword(s):  
Diffusion Processes ◽  
First Passage Time ◽  
Passage Time ◽  
Explicit Solutions ◽  
First Passage ◽  
Uhlenbeck Process ◽  
Double Exponential ◽  
Upper Level ◽  
First Passage Problem ◽  
Passage Times

AbstractWe explore the first passage problem for sticky reflecting diffusion processes with double exponential jumps. The joint Laplace transform of the first passage time to an upper level and the corresponding overshoot is studied. In particular, explicit solutions are presented when the diffusion part is driven by a drifted Brownian motion and by an Ornstein–Uhlenbeck process.

The density of interfaces: a new first-passage problem

1993 ◽  
Vol 30 (04) ◽  
pp. 851-862 ◽  
Author(s):  
L. Chayes ◽  
C. Winfield
Keyword(s):  
Correlation Length ◽  
First Passage Time ◽  
Passage Time ◽  
Scaling Behavior ◽  
First Passage Percolation ◽  
First Passage ◽  
Site Percolation ◽  
Percolation Problem ◽  
First Passage Problem

We introduce and study a novel type of first-passage percolation problem onwhere the associated first-passage time measures the density of interface between two types of sites. If the types, designated + and –, are independently assigned their values with probabilitypand (1 —p) respectively, we show that the density of interface is non-zero provided that both species are subcritical with regard to percolation, i.e.pc>p> 1 –pc.Furthermore, we show that asp↑pcorp↓ (1 –pc), the interface density vanishes with scaling behavior identical to the correlation length of the site percolation problem.

Moments of the first-passage time of a Wiener process with drift between two elastic barriers

1995 ◽  
Vol 32 (4) ◽  
pp. 1007-1013 ◽  
Author(s):  
Marco Dominé
Keyword(s):  
Wiener Process ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
One Dimensional ◽  
Special Cases ◽  
Backward Equation ◽  
The One ◽  
First Passage Problem ◽  
Reflecting Barriers

The first-passage problem for the one-dimensional Wiener process with drift in the presence of elastic boundaries is considered. We use the Kolmogorov backward equation with corresponding boundary conditions to derive explicit closed-form expressions for the expected value and the variance of the first-passage time. Special cases with pure absorbing and/or reflecting barriers arise for a certain choice of a parameter constellation.

Sign in / Sign up

Export Citation Format

Share Document