Hazard-selfsimilarity of diffusions’ first passage times

On last passage times of linear diffusions to curved boundaries

The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following Robbins & Siegmund, we then show that this expression may be computed for some implicit boundaries via a martingale method. Finally, we discuss some links betw...

On first range times of linear diffusions

First-passage times of regime switching models

The probability of a stochastic process to first breach an upper and/or a lower level is an important quantity for optimal control and risk management. We present those probabilities for regime switching Brownian motion. In the 2and 3-state model, the Laplace transform of the (single and double barrier) first-passage times is – up to the roots of a polynomial of degree 4 (respectively 6) – deri...

First Passage Time Moments of Jump-Diffusions with Markovian Switching

First Passage Times, Lifetimes, and Relaxation Times of Unfolded Proteins.

The dynamics of proteins in the unfolded state can be quantified in computer simulations by calculating a spectrum of relaxation times which describes the time scales over which the population fluctuations decay to equilibrium. If the unfolded state space is discretized, we can evaluate the relaxation time of each state. We derive a simple relation that shows the mean first passage time to any ...