The two-barrier problem for continuously differentiable processes

1992 ◽  
Vol 24 (1) ◽  
pp. 71-94 ◽  
Author(s):  
Igor Rychlik
Keyword(s):  
Vector Field ◽  
First Passage Time ◽  
Passage Time ◽  
Upper And Lower Bounds ◽  
Gaussian Vector ◽  
First Passage ◽  
Zero Crossing ◽  
Numerical Examples ◽  
Cycle Amplitude ◽  
Barrier Problem

An efficient algorithm to compute upper and lower bounds for the first-passage time in the presence of a second absorbing barrier by means of a continuously differentiable decomposable process, e.g. a smooth function of a continuously differentiable Gaussian vector field, is given. The method is used to obtain accurate approximations for the joint density of the zero-crossing wavelength and amplitude and the distribution of the rainflow cycle amplitude. Numerical examples illustrating the results are also given.

The two-barrier problem for continuously differentiable processes

1992 ◽  
Vol 24 (01) ◽  
pp. 71-94
Author(s):  
Igor Rychlik
Keyword(s):  
Vector Field ◽  
First Passage Time ◽  
Passage Time ◽  
Upper And Lower Bounds ◽  
Gaussian Vector ◽  
First Passage ◽  
Zero Crossing ◽  
Numerical Examples ◽  
Cycle Amplitude ◽  
Barrier Problem

An efficient algorithm to compute upper and lower bounds for the first-passage time in the presence of a second absorbing barrier by means of a continuously differentiable decomposable process, e.g. a smooth function of a continuously differentiable Gaussian vector field, is given. The method is used to obtain accurate approximations for the joint density of the zero-crossing wavelength and amplitude and the distribution of the rainflow cycle amplitude. Numerical examples illustrating the results are also given.

scholarly journals Skewness and Kurtosis in Stochastic Thermodynamics

2021 ◽  
Author(s):  
Andre Cardoso Barato ◽  
Taylor Wampler
Keyword(s):  
Entropy Production ◽  
Average Rate ◽  
First Passage Time ◽  
Passage Time ◽  
Higher Order ◽  
Upper And Lower Bounds ◽  
Thermodynamic Force ◽  
First Passage ◽  
Stochastic Thermodynamics ◽  
Skewness And Kurtosis

Abstract The thermodynamic uncertainty relation is a prominent result in stochastic thermodynamics that provides a bound on the fluctuations of any thermodynamic flux, also known as current, in terms of the average rate of entropy production. Such fluctuations are quantified by the second moment of the probability distribution of the current. The role of higher order standardized moments such as skewness and kurtosis remains largely unexplored. We analyze the skewness and kurtosis associated with the first passage time of thermodynamic currents within the framework of stochastic thermodynamics. We develop a method to evaluate higher order standardized moments associated with the first passage time of any current. For systems with a unicyclic network of states, we conjecture upper and lower bounds on skewness and kurtosis associated with entropy production. These bounds depend on the number of states and the thermodynamic force that drives the system out of equilibrium. We show that these bounds for skewness and kurtosis do not hold for multicyclic networks. We discuss the application of our results to infer an underlying network of states.

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.

scholarly journals Credit Gap Risk in a First Passage Time Model with Jumps

2009 ◽  
Author(s):  
Natalie Packham ◽  
Lutz Schloegl ◽  
Wolfgang M. Schmidt
Keyword(s):  
First Passage Time ◽  
Passage Time ◽  
First Passage ◽  
Time Model ◽  
Gap Risk ◽  
Credit Gap

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.

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