The final size of a nearly critical epidemic, and the first passage time of a Wiener process to a parabolic barrier

1998 ◽  
Vol 35 (3) ◽  
pp. 671-682 ◽  
Author(s):  
Anders Martin-Löf

The distribution of the final size, K, in a general SIR epidemic model is considered in a situation when the critical parameter λ is close to 1. It is shown that with a ‘critical scaling’ λ ≈ 1 + a / n1/3, m ≈ bn1/3, where n is the initial number of susceptibles and m is the initial number of infected, then K / n2/3 has a limit distribution when n → ∞. It can be described as that of T, the first passage time of a Wiener process to a parabolic barrier b + at − t2/2. The proof is based on a diffusion approximation. Moreover, it is shown that the distribution of T can be expressed analytically in terms of Airy functions using the spectral representation connected with Airy's differential equation.

1998 ◽  
Vol 35 (03) ◽  
pp. 671-682 ◽  
Author(s):  
Anders Martin-Löf

The distribution of the final size, K, in a general SIR epidemic model is considered in a situation when the critical parameter λ is close to 1. It is shown that with a ‘critical scaling’ λ ≈ 1 + a / n 1/3, m ≈ bn 1/3, where n is the initial number of susceptibles and m is the initial number of infected, then K / n 2/3 has a limit distribution when n → ∞. It can be described as that of T, the first passage time of a Wiener process to a parabolic barrier b + at − t 2/2. The proof is based on a diffusion approximation. Moreover, it is shown that the distribution of T can be expressed analytically in terms of Airy functions using the spectral representation connected with Airy's differential equation.


1987 ◽  
Vol 1 (1) ◽  
pp. 69-74 ◽  
Author(s):  
Mark Brown ◽  
Yi-Shi Shao

The spectral approach to first passage time distributions for Markov processes requires knowledge of the eigenvalues and eigenvectors of the infinitesimal generator matrix. We demonstrate that in many cases knowledge of the eigenvalues alone is sufficient to compute the first passage time distribution.


1977 ◽  
Vol 14 (4) ◽  
pp. 850-856 ◽  
Author(s):  
Shunsuke Sato

This paper gives an asymptotic evaluation of the probability that the Wiener path first crosses a square root boundary. The result is applied to estimate the moments of the first-passage time distribution of the Ornstein–Uhlenbeck process to a constant boundary.


1977 ◽  
Vol 14 (04) ◽  
pp. 850-856 ◽  
Author(s):  
Shunsuke Sato

This paper gives an asymptotic evaluation of the probability that the Wiener path first crosses a square root boundary. The result is applied to estimate the moments of the first-passage time distribution of the Ornstein–Uhlenbeck process to a constant boundary.


1995 ◽  
Vol 32 (4) ◽  
pp. 1007-1013 ◽  
Author(s):  
Marco Dominé

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.


1969 ◽  
Vol 6 (01) ◽  
pp. 218-223
Author(s):  
M.T. Wasan

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.


1996 ◽  
Vol 33 (01) ◽  
pp. 164-175 ◽  
Author(s):  
Marco Dominé

We solve the Fokker-Planck equation for the Wiener process with drift in the presence of elastic boundaries and a fixed start point. An explicit expression is obtained for the first passage density. The cases with pure absorbing and/or reflecting barriers arise for a special choice of a parameter constellation. These special cases are compared with results in Darling and Siegert [5] and Sweet and Hardin [15].


1979 ◽  
Vol 16 (02) ◽  
pp. 274-286
Author(s):  
K. Wickwire

In the Poisson disorder problem the probability that the parameter of a Poisson process y, has increased by a constant amount, given observations of ys, s ≦ t, is a Markov process of mixed type with jumps of variable (state-dependent) magnitude superimposed upon a drift which satisfies an ordinary differential equation. Using a likelihood-ratio transformation, one can reduce the backward equation satisfied by the expected first-passage time to a constant level for the mixed process to a differential-difference equation with a constant retardation. We discuss a method for solving this equation and present some numerical results on its solution. The accuracy of some approximations which are easier to calculate is investigated.


1983 ◽  
Vol 20 (01) ◽  
pp. 197-201 ◽  
Author(s):  
L. M. Ricciardi ◽  
S. Sato

A procedure is indicated to estimate first-passage-time p.d.f.'s through varying boundaries for a class of diffusion processes that can be transformed into the Wiener process by rather general transformations. Although this procedure is adapted to Durbin's [4] algorithm, it could be extended to other existing computation methods.


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