Hitting times for Bessel processes

Hitting times for Gaussian processes

We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and in particular cases like the fractional Brownian motion are discussed. AMS Subject Classification: 60H05, 60H07

Simulation 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...

Hitting times for Multiplicative Growth-collapse Processes

We consider a stochastic process (Xt)t≥0 that grows linearly in time and experiences collapses at times governed by a Poisson process with rate λ. The collapses are modeled by multiplying the process level by a random variable supported on [0, 1). For the hitting time defined as τy = inf{t > 0|Xt = y} we derive power series for the Laplace transform and all moments. We further discuss the asymp...

Probability HITTING TIMES FOR GAUSSIAN PROCESSES

Asymptotics for Hitting Times

In this paper we characterize possible asymptotics for hitting times in aperiodic ergodic dynamical systems: asymptotics are proved to be the distribution functions of subprobability measures on the line belonging to the functional class (A) F = F is continuous and concave; F (t) ≤ t for t ≥ 0.. Note that all possible asymptotics are absolutely continuous.