FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES

2012 ◽  
Vol 13 (01) ◽  
pp. 1250014 ◽  
Author(s):  
LIJUN BO ◽  
GUIJUN REN ◽  
YONGJIN WANG ◽  
XUEWEI YANG
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Laplace Transform ◽  
First Passage Time ◽  
Integral Functional ◽  
Stable Process ◽  
Passage Time ◽  
First Passage ◽  
Dynkin’S Formula ◽  
Passage Times

We study first passage problems of a class of reflected generalized Ornstein–Uhlenbeck processes without positive jumps. By establishing an extended Dynkin's formula associated with the process, we derive that the joint Laplace transform of the first passage time and an integral functional stopped at the time satisfies a truncated integro-differential equation. Two solvable examples are presented when the driven Lévy process is a drifted-Brownian motion and a spectrally negative stable process with index α ∈ (1, 2], respectively. Finally, we give two applications in finance.

Sufficient Conditions for a First Passage Time Process to be that of Brownian Motion

1969 ◽  
Vol 6 (01) ◽  
pp. 218-223
Author(s):  
M.T. Wasan
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
First Passage Time ◽  
Sufficient Conditions ◽  
Passage Time ◽  
Kolmogorov Equation ◽  
First Passage ◽  
State Variable ◽  
Strong Markov ◽  
Passage Times

In this paper we assign a set of conditions to a strong Markov process and arrive at a differential equation analogous to the Kolmogorov equation. However, in this case the duration variable is the net distance travelled and the state variable is a time, a situation precisely opposite to that of Brownian motion. Solving this differential equation under certain boundary conditions produces the density function of the first passage times of Brownian motion with positive drift (see [1]), with the aid of which we define a new stochastic process.

Sufficient Conditions for a First Passage Time Process to be that of Brownian Motion

1969 ◽  
Vol 6 (1) ◽  
pp. 218-223 ◽  
Author(s):  
M.T. Wasan
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
First Passage Time ◽  
Sufficient Conditions ◽  
Passage Time ◽  
Kolmogorov Equation ◽  
First Passage ◽  
State Variable ◽  
Strong Markov ◽  
Passage Times

In this paper we assign a set of conditions to a strong Markov process and arrive at a differential equation analogous to the Kolmogorov equation. However, in this case the duration variable is the net distance travelled and the state variable is a time, a situation precisely opposite to that of Brownian motion. Solving this differential equation under certain boundary conditions produces the density function of the first passage times of Brownian motion with positive drift (see [1]), with the aid of which we define a new stochastic process.

Mean first-passage times of Brownian motion and related problems

1952 ◽  
Vol 211 (1106) ◽  
pp. 431-443 ◽  
Keyword(s):  
Brownian Motion ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage Times ◽  
Analytical Relationship ◽  
First Passage ◽  
Special Boundaries ◽  
Mean First Passage Times ◽  
Special Cases ◽  
Passage Times

The theory of first-passage times of Brownian motion is developed in general, and it is shown that for certain special boundaries—the only ones of any importance—mean first-passage times can be derived very simply, avoiding the usual method involving series. Moreover, these formulae have a close analytical relationship to the better-known type of formulae for average 'displacements’ in given intervals; there exist certain pairs of reciprocal relations. Some new formulae, of mathematical interest, for translational Brownian motion are given. The main application of the general theory, however, lies in the derivation of experimentally particularly useful formulae for rotational Brownian motion. Special cases when external forces are present, and mean reciprocal first-passage times are discussed briefly, and finally it is shown how finite times of observation modify the mean first-passage time formulae of free Brownian motion.

First passage time for the state of exact chemical equilibrium

1980 ◽  
Vol 45 (3) ◽  
pp. 777-782 ◽  
Author(s):  
Milan Šolc
Keyword(s):  
Chemical Equilibrium ◽  
First Passage Time ◽  
Passage Time ◽  
The State ◽  
Recurrence Time ◽  
First Passage ◽  
First Order ◽  
The Mean ◽  
Passage Times ◽  
Number Of Particles

The establishment of chemical equilibrium in a system with a reversible first order reaction is characterized in terms of the distribution of first passage times for the state of exact chemical equilibrium. The mean first passage time of this state is a linear function of the logarithm of the total number of particles in the system. The equilibrium fluctuations of composition in the system are characterized by the distribution of the recurrence times for the state of exact chemical equilibrium. The mean recurrence time is inversely proportional to the square root of the total number of particles in the system.

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.

scholarly journals On the First Passage time for Brownian Motion Subordinated by a Lévy Process

2009 ◽  
Vol 46 (1) ◽  
pp. 181-198 ◽  
Author(s):  
T. R. Hurd ◽  
A. Kuznetsov
Keyword(s):  
Brownian Motion ◽  
Approximation Scheme ◽  
First Passage Time ◽  
Gaussian Model ◽  
Passage Time ◽  
Financial Mathematics ◽  
First Passage ◽  
Financial Modeling ◽  
Motion Time ◽  
Normal Inverse Gaussian

In this paper we consider the class of Lévy processes that can be written as a Brownian motion time changed by an independent Lévy subordinator. Examples in this class include the variance-gamma (VG) model, the normal-inverse Gaussian model, and other processes popular in financial modeling. The question addressed is the precise relation between the standard first passage time and an alternative notion, which we call the first passage of the second kind, as suggested by Hurd (2007) and others. We are able to prove that the standard first passage time is the almost-sure limit of iterations of the first passage of the second kind. Many different problems arising in financial mathematics are posed as first passage problems, and motivated by this fact, we are led to consider the implications of the approximation scheme for fast numerical methods for computing first passage. We find that the generic form of the iteration can be competitive with other numerical techniques. In the particular case of the VG model, the scheme can be further refined to give very fast algorithms.

scholarly journals Probing Protein Shelf Lives from Inverse Mean First Passage Times

2019 ◽  
Author(s):  
Vishal Singh ◽  
Parbati Biswas
Keyword(s):  
Protein Aggregation ◽  
Rate Constants ◽  
Survival Probability ◽  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
First Order Kinetics ◽  
The Mean ◽  
Passage Times ◽  
Good Agreement

Protein aggregation is investigated theoretically via protein turnover, misfolding, aggregation and degradation. The Mean First Passage Time (MFPT) of aggregation is evaluated within the framework of Chemical Master Equation (CME) and pseudo first order kinetics with appropriate boundary conditions. The rate constants of aggregation of different proteins are calculated from the inverse MFPT, which show an excellent match with the experimentally reported rate constants and those extracted from the ThT/ThS fluorescence data. Protein aggregation is found to be practically independent of the number of contacts and the critical number of misfolded contacts. The age of appearance of aggregation-related diseases is obtained from the survival probability and the MFPT results, which matches with those reported in the literature. The calculated survival probability is in good agreement with the only available clinical data for Parkinson’s disease.<br>

scholarly journals Occupation Times for Markov-Modulated Brownian Motion

2012 ◽  
Vol 49 (02) ◽  
pp. 549-565 ◽  
Author(s):  
Lothar Breuer
Keyword(s):  
Brownian Motion ◽  
First Passage Time ◽  
Passage Time ◽  
Laplace Transforms ◽  
Occupation Times ◽  
First Passage ◽  
Scale Functions ◽  
Positive Variation ◽  
Markov Modulated

In this paper we determine the distributions of occupation times of a Markov-modulated Brownian motion (MMBM) in separate intervals before a first passage time or an exit from an interval. We derive the distributions in terms of their Laplace transforms, and we also distinguish between occupation times in different phases. For MMBMs with strictly positive variation parameters, we further propose scale functions.

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