On the first-hitting times of a Brownian motion with a change point

2017 ◽  
Vol 72 (6) ◽  
pp. 1165-1167
Author(s):  
D I Lisovskii
Keyword(s):  
Brownian Motion ◽  
Change Point ◽  
Hitting Times ◽  
First Hitting Times

On the dependence structure of hitting times of univariate processes

1988 ◽  
Vol 25 (02) ◽  
pp. 355-362 ◽  
Author(s):  
Nader Ebrahimi ◽  
T. Ramalingam
Keyword(s):  
Brownian Motion ◽  
Structural Properties ◽  
Hitting Times ◽  
Dependence Structure ◽  
Special Case ◽  
New Better Than Used ◽  
Better Than

Some concepts of dependence have recently been introduced by Ebrahimi (1987) to explore the structural properties of the hitting times of bivariate processes. In this framework, the special case of univariate processes has curious features. New properties are derived for this case. Some applications to sequential inference and inequalities for Brownian motion and new better than used (NBU) processes are also provided.

scholarly journals First Hitting Times to Intermittent Targets

2019 ◽  
Vol 123 (25) ◽  
Author(s):  
Gabriel Mercado-Vásquez ◽  
Denis Boyer
Keyword(s):  
Hitting Times ◽  
First Hitting Times

Examples for the Theory of Strong Stationary Duality with Countable State Spaces

1990 ◽  
Vol 4 (2) ◽  
pp. 157-180 ◽  
Author(s):  
Persi Diaconis ◽  
James Allen Fill
Keyword(s):  
Stopping Time ◽  
Renewal Theory ◽  
Hitting Times ◽  
State Spaces ◽  
Ergodic Markov Chain ◽  
Countable State Space ◽  
Strong Stationary Duality ◽  
Countable State ◽  
Infinite State ◽  
First Hitting Times

Let X1,X2,… be an ergodic Markov chain on the countable state space. We construct a strong stationary dual chain X* whose first hitting times give sharp bounds on the convergence to stationarity for X. Examples include birth and death chains, queueing models, and the excess life process of renewal theory. This paper gives the first extension of the stopping time arguments of Aldous and Diaconis [1,2] to infinite state spaces.

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