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Computing hitting times via fluid approximation: application to the coupon collector problem
Computing hitting times fluid approximation coupon collector problem Probability
2011/9/14
Abstract: In this paper, we show how to use stochastic approximation to compute hitting time of a stochastic process, based on the study of the time for a fluid approximation of this process to be at ...
The Hitting Times with Taboo for a Random Walk on an Integer Lattice
random walks on integer lattices hitting times taboo probabilities branching random walk
2011/8/26
Abstract: For a symmetric, homogeneous and irreducible random walk on d-dimensional integer lattice Z^d, having zero mean and a finite variance of jumps, we study the passage times (with possible infi...
Poincaré inequalities and hitting times
Poincar´ e inequalities Lyapunov functions hitting times log-concave measures
2011/2/25
Equivalence of the spectral gap, exponential integrability of hitting times and Lyapunov conditions are well known. We give here the correspondance (with quantitative results) for reversible diffusion...
On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
Reflecting Brownian motion Bessel process hitting time linear boundary
2011/1/20
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary t 7→ a + bt, a ≥ 0, b ∈ R, by a reflecting Brownian motion.
Let T(μ)1 be the first hitting time of the point 1 by the Bessel process with index μ ∈ R
starting from x > 1.
A note on Schrödinger equation with linear potential and hitting times
Schrö dinger equation linear potential hitting times
2010/11/29
In this note we derive a solution to the Schr¨odingertype backward equation which satisfies a necessary boundary condition used in hitting-time problems [as described in Hern´andezdel-
Valle (2...