منابع مشابه
Hitting time for Bessel processes - walk on moving spheres algorithm (WoMS)
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متن کاملProcesses : Existence , Uniqueness and Hitting Time
Abstract. We give shorter proofs of the following known results: the radial Dunkl process associated with a reduced system and a strictly positive multiplicity function is the unique strong solution for all times t of a stochastic differential equation with a singular drift (see [11] for the original proof and [4] for a proof under an additional restriction), the first hitting time of the Weyl ...
متن کاملSimulation of hitting times for Bessel processes with non-integer dimension
In this paper we complete and improve the study of the simulation of the hitting times of some given boundaries for Bessel processes. These problems are of great interest in many application fields as finance and neurosciences. In a previous work [9], the authors introduced a new method for the simulation of hitting times for Bessel processes with integer dimension. The method, called walk on m...
متن کاملFirst hitting times for general non-homogeneous 1d diffusion processes: density estimates in small time
Motivated by some applications in neurosciences, we here collect several estimates for the density of the first hitting time of a threshold by a nonhomogeneous one-dimensional diffusion process and for the density of the associated process stopped at the threshold. We first remind the reader of the connection between both. We then provide some Gaussian type bounds for the density of the stopped...
متن کاملThreshold Regression and First Hitting Time Models
First hitting time models are a technique of modeling a stochastic process as it approaches or avoids a boundary, also known as a threshold. The process itself may be unobservable, making this a difficult problem. Regression techniques, however, can be employed to model the data as it compares to the threshold, creating a class of first hitting time models called threshold regression models. Su...
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ژورنال
عنوان ژورنال: Proceedings of the Japan Academy, Series A, Mathematical Sciences
سال: 1985
ISSN: 0386-2194
DOI: 10.3792/pjaa.61.246