Hitting-Time Densities of a Two-Dimensional Markov Process

1992 ◽  
Vol 6 (4) ◽  
pp. 561-580
Author(s):  
C. H. Hesse
Keyword(s):  
Global Analysis ◽  
First Passage Time ◽  
Type Equation ◽  
Passage Time ◽  
Two Dimensional ◽  
First Passage ◽  
Wide Range ◽  
The Laplace Transform ◽  
Mean And Variance

This paper deals with the two-dimensional stochastic process (X(t), V(t)) where dX(t) = V(t)dt, V(t) = W(t) + ν for some constant ν and W(t) is a one-dimensional Wiener process with zero mean and variance parameter σ2= 1. We are interested in the first-passage time of (X(t), V(t)) to the plane X = 0 for a process starting from (X(0) = −x, V(0) = ν) with x > 0. The partial differential equation for the Laplace transform of the first-passage time density is transformed into a Schrödinger-type equation and, using methods of global analysis, such as the method of dominant balance, an approximation to the first-passage density is obtained. In a series of simulations, the quality of this approximation is checked. Over a wide range of x and ν it is found to perform well, globally in t. Some applications are mentioned.

Spectral Theory for Skip-Free Markov Chains

1989 ◽  
Vol 3 (1) ◽  
pp. 77-88 ◽  
Author(s):  
Joseph Abate ◽  
Ward Whitt
Keyword(s):  
Markov Chains ◽  
Spectral Theory ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage Times ◽  
Simple Relationship ◽  
First Passage ◽  
Birth And Death Processes ◽  
The Laplace Transform ◽  
Passage Times

The distribution of upward first passage times in skip-free Markov chains can be expressed solely in terms of the eigenvalues in the spectral representation, without performing a separate calculation to determine the eigenvectors. We provide insight into this result and skip-free Markov chains more generally by showing that part of the spectral theory developed for birth-and-death processes extends to skip-free chains. We show that the eigenvalues and eigenvectors of skip-free chains can be characterized in terms of recursively defined polynomials. Moreover, the Laplace transform of the upward first passage time from 0 to n is the reciprocal of the nth polynomial. This simple relationship holds because the Laplace transforms of the first passage times satisfy the same recursion as the polynomials except for a normalization.

First-passage time for a particular stationary periodic Gaussian process

1976 ◽  
Vol 13 (01) ◽  
pp. 27-38 ◽  
Author(s):  
L. A. Shepp ◽  
D. Slepian
Keyword(s):  
Gaussian Process ◽  
Infinite Series ◽  
First Passage Time ◽  
Passage Time ◽  
Numerical Calculations ◽  
Time Interval ◽  
Two Dimensional ◽  
First Passage ◽  
Gaussian Density ◽  
First Passage Probability

We find the first-passage probability that X(t) remains above a level a throughout a time interval of length T given X(0) = x 0 for the particular stationary Gaussian process X with mean zero and (sawtooth) covariance P(τ) = 1 – α | τ |, | τ | ≦ 1, with ρ(τ + 2) = ρ(τ), – ∞ < τ < ∞. The desired probability is explicitly found as an infinite series of integrals of a two-dimensional Gaussian density over sectors. Simpler expressions are found for the case a = 0 and also for the unconditioned probability that X(t) be non-negative throughout [0, T]. Results of some numerical calculations are given.

scholarly journals First excess levels of vector processes

1994 ◽  
Vol 7 (3) ◽  
pp. 457-464 ◽  
Author(s):  
Jewgeni H. Dshalalow
Keyword(s):  
Point Process ◽  
Renewal Process ◽  
Stochastic Models ◽  
First Passage Time ◽  
Passage Time ◽  
Two Dimensional ◽  
First Passage ◽  
Compound Process ◽  
First Time

This paper analyzes the behavior of a point process marked by a two-dimensional renewal process with dependent components about some fixed (two-dimensional) level. The compound process evolves until one of its marks hits (i.e. reaches or exceeds) its associated level for the first time. The author targets a joint transformation of the first excess level, first passage time, and the index of the point process which labels the first passage time. The cases when both marks are either discrete or continuous or mixed are treated. For each of them, an explicit and compact formula is derived. Various applications to stochastic models are discussed.

scholarly journals The First Passage Time and the Dividend Value Function for One-Dimensional Diffusion Processes between Two Reflecting Barriers

2012 ◽  
Vol 2012 ◽  
pp. 1-15 ◽  
Author(s):  
Chuancun Yin ◽  
Huiqing Wang
Keyword(s):  
Boundary Conditions ◽  
Value Function ◽  
Diffusion Processes ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
One Dimensional ◽  
The Laplace Transform ◽  
The Value Function ◽  
Reflecting Barriers

We consider the general one-dimensional time-homogeneous regular diffusion process between two reflecting barriers. An approach based on the Itô formula with corresponding boundary conditions allows us to derive the differential equations with boundary conditions for the Laplace transform of the first passage time and the value function. As examples, the explicit solutions of them for several popular diffusions are obtained. In addition, some applications to risk theory are considered.

Remarks on renewal theory for percolation processes

1976 ◽  
Vol 13 (02) ◽  
pp. 290-300 ◽  
Author(s):  
R. T. Smythe
Keyword(s):  
Ergodic Theorem ◽  
First Passage Time ◽  
Renewal Theory ◽  
Passage Time ◽  
Integer Lattice ◽  
Two Dimensional ◽  
First Passage Percolation ◽  
First Passage ◽  
Underlying Distribution ◽  
Percolation Processes

We extend some results of Hammersley and Welsh concerning first-passage percolation on the two-dimensional integer lattice. Our results include: (i) weak renewal theorems for the unrestricted reach processes; (ii) an L 1-ergodic theorem for the unrestricted first-passage time from (0, 0) to the line X = n; and (iii) weakening of the boundedness restrictions on the underlying distribution in Hammersley and Welsh's weak renewal theorems for the cylinder reach processes.

First Passage Time Distribution of a Two-Dimensional Wiener Process with Drift

1993 ◽  
Vol 7 (4) ◽  
pp. 545-555 ◽  
Author(s):  
Marco Dominé ◽  
Volkmar Pieper
Keyword(s):  
Wiener Process ◽  
First Passage Time ◽  
Exit Time ◽  
Passage Time ◽  
Absorbing Boundary Conditions ◽  
Two Dimensional ◽  
First Exit Time ◽  
First Passage ◽  
Absorbing Boundary ◽  
Starting Point

The two-dimensional correlated Wiener process (or Brownian motion) with drift is considered. The Fokker-Planck (or Kolmogorov forward) equation for the Wiener process (X1(t), X2(t)) is solved under absorbing boundary conditions on the lines x1= h1 and x2 = h2 and a fixed starting point (x0,1, x0,2). The first passage (or first exit) time when the process leaves the domain G = ( −∞, h1) × ( −∞, h2) is derived.

First-passage time for a particular stationary periodic Gaussian process

1976 ◽  
Vol 13 (1) ◽  
pp. 27-38 ◽  
Author(s):  
L. A. Shepp ◽  
D. Slepian
Keyword(s):  
Gaussian Process ◽  
Infinite Series ◽  
First Passage Time ◽  
Passage Time ◽  
Numerical Calculations ◽  
Time Interval ◽  
Two Dimensional ◽  
First Passage ◽  
Gaussian Density ◽  
First Passage Probability

We find the first-passage probability that X(t) remains above a level a throughout a time interval of length T given X(0) = x0 for the particular stationary Gaussian process X with mean zero and (sawtooth) covariance P(τ) = 1 – α | τ |, | τ | ≦ 1, with ρ(τ + 2) = ρ(τ), – ∞ < τ < ∞. The desired probability is explicitly found as an infinite series of integrals of a two-dimensional Gaussian density over sectors. Simpler expressions are found for the case a = 0 and also for the unconditioned probability that X(t) be non-negative throughout [0, T]. Results of some numerical calculations are given.

scholarly journals Double-barrier first-passage times of jump-diffusion processes

2013 ◽  
Vol 19 (2) ◽  
pp. 107-141
Author(s):  
Lexuri Fernández ◽  
Peter Hieber ◽  
Matthias Scherer
Keyword(s):  
Diffusion Processes ◽  
First Passage Time ◽  
Asset Price ◽  
Jump Diffusion ◽  
Mathematical Finance ◽  
Passage Time ◽  
First Passage ◽  
Double Barrier ◽  
Jump Diffusion Processes ◽  
Wide Range

Abstract. Required in a wide range of applications in, e.g., finance, engineering, and physics, first-passage time problems have attracted considerable interest over the past decades. Since analytical solutions often do not exist, one strand of research focuses on fast and accurate numerical techniques. In this paper, we present an efficient and unbiased Monte-Carlo simulation to obtain double-barrier first-passage time probabilities of a jump-diffusion process with arbitrary jump size distribution; extending single-barrier results by [Journal of Derivatives 10 (2002), 43–54]. In mathematical finance, the double-barrier first-passage time is required to price exotic derivatives, for example corridor bonus certificates, (step) double barrier options, or digital first-touch options, that depend on whether or not the underlying asset price exceeds certain threshold levels. Furthermore, it is relevant in structural credit risk models if one considers two exit events, e.g., default and early repayment.

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