Search Results

A characterization of first passage time distributions for random walks,
Lennart Bondesson, in Stochastic Processes and their Applications (1991)
Keywords: random walk first passage time last exit time mixture of geometric distributions generating function analytic function

On first passage time structure of random walks,
Ushio Sumita and Yasushi Masuda, in Stochastic Processes and their Applications (1985)
Keywords: birth-death processes discrete time birth-death chains first passage times conditional first passage time complete monotonicity strong unimodality PF[infinity]

A note on first-passage times of continuously time-changed Brownian motion,
Peter Hieber and Matthias Scherer, in Statistics & Probability Letters (2012)
Keywords: Double-barrier problem; First-exit time; First-passage time; Time-changed Brownian motion; Barrier option;

On Short-Term Loan Interest Rate Models: A First Passage Time Approach,
Giuseppina Albano and Virginia Giorno, in Mathematics (2018)
Keywords: loan interest rate regulation; diffusion model; first passage time (FPT)

Mean first passage time for random walk on dual structure of dendrimer,
Ling Li, Jihong Guan and Shuigeng Zhou, in Physica A: Statistical Mechanics and its Applications (2014)
Keywords: Random walk; Mean first-passage time; Dendrimer; Loop;

Explicit form of the first-passage-time density for accelerating subdiffusion,
Janusz Gajda and Wojciech Mydlarczyk, in Physica A: Statistical Mechanics and its Applications (2016)
Keywords: Subordination; Fractional Fokker–Planck equation; First passage time;

Mean first passage time for diffuse and rest search in a confined spherical domain,
Nicholas Mwilu Mutothya and Yong Xu, in Physica A: Statistical Mechanics and its Applications (2021)
Keywords: First passage time; Diffuse and rest; Intermittent search; Confined domain;

A note on the first passage time of diffusions with holding and jumping boundary,
Jun Peng, in Statistics & Probability Letters (2014)
Keywords: Diffusions; Holding and jumping boundary; First passage time; Neuron model;

Uniqueness of first passage time distributions via Fredholm integral equations,
Sören Christensen, Simon Fischer and Oskar Hallmann, in Statistics & Probability Letters (2023)
Keywords: First passage time problem; Brownian motion; Fredholm integral equations; Uniqueness;

Mean first-passage time for diffusion on fractal lattices with imposed boundary conditions,
Przemysław Chełminiak and Michał Kurzyński, in Physica A: Statistical Mechanics and its Applications (2004)
Keywords: Mean first-passage time; Diffusion on fractals; Chemical distance;

First passage time of multiple Brownian particles on networks with applications,
Shao-Ping Wang and Wen-Jiang Pei, in Physica A: Statistical Mechanics and its Applications (2008)
Keywords: Random walk; Complex networks; First passage time; Brownian particle;

A note on estimating realignment probabilities - A first-passage-time approach,
C.H. Hui and C.F. Lo, in Journal of International Money and Finance (2009)
Keywords: Realignment risk Mean reversion First-passage-time probability

A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach,
Cho-Hoi Hui and Chi-Fai Lo, from Hong Kong Monetary Authority (2008)
Keywords: realignment risk, mean-reversion, first-passage-time probability

On the First-Passage Time Problem for a Feller-Type Diffusion Process,
Virginia Giorno and Amelia G. Nobile, in Mathematics (2021)
Keywords: first-passage time densities; Laplace transforms; Wiener process; Ornstein-Uhlenbeck process; first-passage time moments; asymptotic behaviors

An inverse first-passage problem for one-dimensional diffusions with random starting point,
Mario Abundo, in Statistics & Probability Letters (2012)
Keywords: First-passage time; Inverse first-passage problem; Diffusion;

On the First-Passage Area of a One-Dimensional Jump-Diffusion Process,
Mario Abundo, in Methodology and Computing in Applied Probability (2013)
Keywords: First-passage time, First-passage area, One-dimensional jump-diffusion

Credit dynamics in a first passage time model with jumps,
Natalie Packham, Lutz Schlögl and Wolfgang M. Schmidt, from Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF) (2009)
Keywords: gap risk, credit spreads, credit dynamics, first passage time models, Lévy processes, general Ornstein-Uhlenbeck processes

On the first passage time and leapover properties of Lévy motions,
T. Koren, A.V. Chechkin and J. Klafter, in Physica A: Statistical Mechanics and its Applications (2007)
Keywords: Lévy motion; Lévy stable distributions; Brownian motion; First passage time; Leapover;

Conditional moments of the first-passage time of a crowed population,
Gabriela de Jesús Cabral-García and José Villa-Morales, in Applied Mathematics and Computation (2024)
Keywords: Stochastic logistic differential equation; Conditional moments; First-passage time; Tumor; World population;

First Passage Time for Brownian Motion and Piecewise Linear Boundaries,
Zhiyong Jin and Liqun Wang, in Methodology and Computing in Applied Probability (2017)
Keywords: Boundary crossing density, Brownian motion, First hitting time, First passage time, Curved boundary

Mean first-passage time in a delayed tristable system driven by correlated multiplicative and additive white noises,
Pengfei Xu and Yanfei Jin, in Chaos, Solitons & Fractals (2018)
Keywords: Mean first-passage time; Tristable system; Correlated noises; Time delay;

The double-barrier inverse first-passage problem for Wiener process with random starting point,
Mario Abundo, in Statistics & Probability Letters (2013)
Keywords: First-passage time; Inverse first-passage problem; Diffusion;

Random walk and first passage time on a weighted hierarchical network,
Feng Zhu, Meifeng Dai, Yujuan Dong and Jie Liu, in International Journal of Modern Physics C (IJMPC) (2014)
Keywords: Weighted hierarchical network, biased random walk, first-passage time, average sending time, 11.25.Hf, 123.1K

Asymptotics of First-Passage Time Over a One-Sided Stochastic Boundary,
Zoran Vondraček, in Journal of Theoretical Probability (2000)
Keywords: first-passage time, stochastic boundary, Brownian motion, Lévy process, local time, continuous martingale

Charting the Unknown: First Passage Time Probabilities for Pearson Diffusion Process and Application to Options Risk Management,
Saswat Patra and Malay Bhattacharyya, in American Business Review (2024)
Keywords: First Passage Time Density; Pearson Diffusion Process; MaxVaR; Risk Management

A Correction Note on: When the “Bull” Meets the “Bear”—A First Passage Time Problem for a Hidden Markov Process,
Peter Hieber, in Methodology and Computing in Applied Probability (2014)
Keywords: Markov switching, Regime switching, First-passage time, Laplace transform

When the “Bull” Meets the “Bear”—A First Passage Time Problem for a Hidden Markov Process,
Xin Guo, in Methodology and Computing in Applied Probability (2001)
Keywords: first passage time, the Laplace transform, hidden Markov processes, Brownian motion

Solutions of fractional nonlinear diffusion equation and first passage time: Influence of initial condition and diffusion coefficient,
Jun Wang, Wen-Jun Zhang, Jin-Rong Liang, Pan Zhang and Fu-Yao Ren, in Physica A: Statistical Mechanics and its Applications (2008)
Keywords: Fractional nonlinear diffusion equation; Probability distribution; First passage time distribution; Mean first passage time; Mean squared displacement;

Statistical analysis and first-passage-time applications of a lognormal diffusion process with multi-sigmoidal logistic mean,
Antonio Di Crescenzo, Paola Paraggio, Patricia Román-Román and Francisco Torres-Ruiz, in Statistical Papers (2023)
Keywords: Lognormal diffusion process, Multi-sigmoidal growth, Maximum likelihood estimation, Asymptotic distribution, First-passage-time, First-passage-time location function

Bridging the first and last passage times for Lévy models,
David Landriault, Bin Li, Mohamed Amine Lkabous and Zijia Wang, in Stochastic Processes and their Applications (2023)
Keywords: First passage time; Last passage time; Occupation time; Parisian time; Spectrally negative Lévy processes; Scale functions;

Mean first-passage time on a family of small-world treelike networks,
Long Li, Weigang Sun, Guixiang Wang and Guanghui Xu, in International Journal of Modern Physics C (IJMPC) (2014)
Keywords: Complex networks, mean first-passage time, random walks, 89.75.Fb, 89.75.Hc, 05.40.Fb

Determining entire mean first-passage time for Cayley networks,
Xiaoqian Wang, Meifeng Dai, Yufei Chen, Yue Zong, Yu Sun and Weiyi Su, in International Journal of Modern Physics C (IJMPC) (2018)
Keywords: Entire mean first-passage time, Laplacian spectra, Cayley networks, Vieta theorem

Credit gap risk in a first passage time model with jumps,
Natalie Packham, Lutz Schlögl and Wolfgang M. Schmidt, from Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF) (2009)
Keywords: gap risk, credit spreads, credit dynamics, first passage time models, stochastic volatility, general Ornstein-Uhlenbeck processes

The first passage time density of Ornstein–Uhlenbeck process with continuous and impulsive excitations,
Zi-Yi Chen and Yan-Mei Kang, in Chaos, Solitons & Fractals (2016)
Keywords: First passage time; Ornstein–Uhlenbeck process; Coherent impulse excitation; Alpha function approximation; Convergence in probability;

Exact simulation of the first passage time through a given level of jump diffusions,
Samuel Herrmann and Nicolas Massin, in Mathematics and Computers in Simulation (MATCOM) (2023)
Keywords: First passage time; Jump diffusion; Girsanov formula; Rejection sampling; Bessel process; Stochastic algorithm;

Complete monotonicity of time-changed Lévy processes at first passage,
Matija Vidmar, in Statistics & Probability Letters (2023)
Keywords: Spectrally positive Lévy process; Time-change; First passage; Complete monotonicity; Laplace transform;

A first-passage-time model under regime-switching market environment,
Mi Ae Kim, Bong-Gyu Jang and Ho-Seok Lee, in Journal of Banking & Finance (2008)
Keywords: First-passage-time model Regime-switching model Default probability Default correlation Credit default swap

Tempered stable process, first passage time, and path-dependent option pricing,
Young Shin Kim, in Computational Management Science (2019)
Keywords: Lévy process, Tempered stable process, First passage time, Barrier option pricing, Perpetual American option pricing

First Passage Time of a Lévy Degradation Model with Random Effects,
Narayanaswamy Balakrishnan and Chengwei Qin, in Methodology and Computing in Applied Probability (2019)
Keywords: First passage time, Generalized methods of moments, Lévy subordinator, Random effects, Saddlepoint approximations, Inverse laplace transform

The Inverse First-passage Time Problem as Hydrodynamic Limit of a Particle System,
Alexander Klump, in Methodology and Computing in Applied Probability (2023)
Keywords: Inverse first-passage time problem, hydrodynamic limit, Boundary crossing problem, Brownian motion, Particle system

The First-Passage Area of Wiener Process with Stochastic Resetting,
Mario Abundo, in Methodology and Computing in Applied Probability (2023)
Keywords: First-passage time, First-passage area, Wiener process, Ornstein-Uhlenbeck process

Constrained Markov decision processes with first passage criteria,
Yonghui Huang, Qingda Wei and Xianping Guo, in Annals of Operations Research (2013)
Keywords: Markov decision processes, Target set, First passage time, Expected first passage reward/cost, Constrained optimal policy,

The Randomized First-Hitting Problem of Continuously Time-Changed Brownian Motion,
Mario Abundo, in Mathematics (2018)
Keywords: first-passage time; inverse first-passage problem; diffusion

The First Passage Time of a Stable Process Conditioned to Not Overshoot,
Fernando Cordero, in Journal of Theoretical Probability (2016)
Keywords: Lévy processes, Stable processes, First passage times, Absolute continuity

First passage times for subordinate Brownian motions,
Mateusz Kwaśnicki, Jacek Małecki and Michał Ryznar, in Stochastic Processes and their Applications (2013)
Keywords: Lévy process; Subordinate process; First passage time; Supremum functional;

Simulation of Brownian motion at first-passage times,
Zaeem A. Burq and Owen D. Jones, in Mathematics and Computers in Simulation (MATCOM) (2008)
Keywords: Brownian motion; Simulation; First-passage time; Boundary crossing; Barrier-option;

A first passage under resetting approach to income dynamics,
Petar Jolakoski, Arnab Pal, Trifce Sandev, Ljupco Kocarev, Ralf Metzler and Viktor Stojkoski, in Chaos, Solitons & Fractals (2023)
Keywords: Income dynamics; Stochastic processes; Mean first passage time;

Transient and First Passage Time Distributions of First- and Second-order Multi-regime Markov Fluid Queues via ME-fication,
Nail Akar, Omer Gursoy, Gabor Horvath and Miklos Telek, in Methodology and Computing in Applied Probability (2021)
Keywords: Multi-regime Markov fluid queues, Matrix exponential distributions, Transient distribution, First passage time distribution

Diffusion first passage times: Approximations and related differential equations,
Michael L. Wenocur, in Stochastic Processes and their Applications (1987)
Keywords: diffusion first passage time failure time spectral expansion

First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights,
Martina Nardon, in Frontiers in Finance and Economics (2008)
Keywords: credit risk, sturctural models, default boundary, first-passage time, excursion time

Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps,
Jiayi Xie, Zhenyu Cui and Zhimin Zhang, in Applied Mathematics and Computation (2022)
Keywords: Jump diffusion model; Laguerre series; First passage time; Phase-type jumps;

Spherical First Passage Time: A tool to investigate area-restricted search in three-dimensional movements,
Frédéric Bailleul, Véronique Lesage and Mike O. Hammill, in Ecological Modelling (2010)
Keywords: Movement patterns; Three-dimensional tracking; Simulations; Spatial scale; Habitat use; Search behaviour; First Passage Time; Diving;

Characterization of the Mean First-Passage Time Function Subject to Advection in Annular-like Domains,
Hélia Serrano and Ramón F. Álvarez-Estrada, in Mathematics (2023)
Keywords: mean first-passage time; diffusion–advection equation; Dirichlet and Robin boundary conditions; annulus; annular cylinder

Exploring bearing root mean square first passage time based on inverse Gaussian distribution,
Sutawanir Darwis, Nusar Hajarisman, Suliadi Suliadi and Achmad Widodo, from International Institute of Social and Economic Sciences (2021)
Keywords: bearing lifetime, estimation inverse Gaussian, bearing operating condition, reliability first passage time

First passage time distribution of a modified fractional diffusion equation in the semi-infinite interval,
Gang Guo, Bin Chen, Xinjun Zhao, Fang Zhao and Quanmin Wang, in Physica A: Statistical Mechanics and its Applications (2015)
Keywords: First passage time; Accelerating subdiffusion; Modified fractional diffusion equation; Semi-infinite interval; Fox H-function;

A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance,
Luca Vincenzo Ballestra, Graziella Pacelli and Davide Radi, in Physica A: Statistical Mechanics and its Applications (2016)
Keywords: Time-changed Brownian motion; First-passage probability; Default risk; Option pricing; System of integral equations; Numerical quadrature;

An efficient approach to obtaining the exit location distribution and the mean first passage time based on the GCM method,
Jianlong Wang, Xiaolei Leng and Xianbin Liu, in Physica A: Statistical Mechanics and its Applications (2021)
Keywords: Probability evolution; Generalized Cell Mapping method; Eigenvalue problem; Mean first passage time; Exit location distribution;

Sample paths of a Lévy process leading to first passage over high levels in finite time,
Philip S. Griffin and Dale O. Roberts, in Stochastic Processes and their Applications (2016)
Keywords: Lévy processes; First passage within finite time; Asymptotic; Subexponential; Convolution equivalent; Semi-heavy tails; Insurance risk;

First-passage failure of a business cycle model under time-delayed feedback control and wide-band random excitation,
Jiaorui Li and C.S. Feng, in Physica A: Statistical Mechanics and its Applications (2010)
Keywords: Business cycle model; Wide-band noise; Time-delayed feedback; First-passage failure;

Continuous-Time Markov Decision Processes Under the Risk-Sensitive First Passage Discounted Cost Criterion,
Qingda Wei and Xian Chen, in Journal of Optimization Theory and Applications (2023)
Keywords: Continuous-time Markov decision processes, Risk-sensitive first passage discounted cost criterion, Optimal policies, Value iteration.

The First Passage Time Problem Over a Moving Boundary for Asymptotically Stable Lévy Processes,
Frank Aurzada and Tanja Kramm, in Journal of Theoretical Probability (2016)
Keywords: Lévy process, Moving boundary, First passage time, Boundary crossing probability, Persistence probability

Analytic expression of the probability density function for the first-passage time in birth-death processes,
Seong Jun Park and M.Y. Choi, in Chaos, Solitons & Fractals (2024)
Keywords: First-passage time; Birth-death process; System size; Population; Rate fluctuations;

Path decomposition of a reflected Lévy process on first passage over high levels,
Philip S. Griffin, in Stochastic Processes and their Applications (2022)
Keywords: Lévy process; Reflected process; Convolution equivalence; First passage time; Overshoot;

First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes,
Andrew N. Downes and Konstantin Borovkov, in Methodology and Computing in Applied Probability (2008)
Keywords: Diffusion processes, Boundary crossing, First passage time density

Modeling of semi-competing risks by means of first passage times of a stochastic process,
Beate Sildnes and Bo Henry Lindqvist, in Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data (2018)
Keywords: Competing risks, First passage time, Gamma process, Random signs censoring

On the first passage time of a simple random walk on a tree,
R.B. Bapat, in Statistics & Probability Letters (2011)
Keywords: Random walk Tree Mean first passage matrix Distance matrix Laplacian matrix

Current relaxation in the Random Resistor cum Tunnelling Network Model through first-passage route: Regimes and time-scales,
Somnath Bhattacharya, in Physica A: Statistical Mechanics and its Applications (2021)
Keywords: RRTN percolation; Relaxation; First passage;

On the First Hitting Time of a One-dimensional Diffusion and a Compound Poisson Process,
Mario Abundo, in Methodology and Computing in Applied Probability (2010)
Keywords: First-passage time, Diffusion, Poisson process

On the excursions of drifted Brownian motion and the successive passage times of Brownian motion,
Mario Abundo, in Physica A: Statistical Mechanics and its Applications (2016)
Keywords: First-passage time; Second-passage time; Brownian motion;

On some integral equations for the evaluation of first-passage-time densities of time-inhomogeneous birth-death processes,
Virginia Giorno and Amelia G. Nobile, in Applied Mathematics and Computation (2022)
Keywords: First-passage time; Polya process; Gompertz process; M(t)/M(t)/1 Queue; M(t)/M(t)/∞ Queue; Computational algorithms;

The high order dispersion analysis based on first-passage-time probability in financial markets,
Chenggong Liu, Pengjian Shang and Guochen Feng, in Physica A: Statistical Mechanics and its Applications (2017)
Keywords: First-passage-time (FPT) probability; High order dispersion (HOD); Multifractal detrended fluctuation analysis (MF-DFA); Financial time series;

A first look at first-passage processes,
S. Redner, in Physica A: Statistical Mechanics and its Applications (2023)
Keywords: First passage; Stochastic process; Diffusion; Random walks;

First and Last Passage Times of Spectrally Positive Lévy Processes with Application to Reliability,
Christian Paroissin and Landy Rabehasaina, in Methodology and Computing in Applied Probability (2015)
Keywords: First-passage time, Last-passage time, Scale function, Failure time, Lévy process, Gamma process, Compound Poisson process, Brownian motion with drift

First passage percolation with recovery,
Elisabetta Candellero and Tom Garcia-Sanchez, in Stochastic Processes and their Applications (2025)
Keywords: First passage percolation; First passage percolation in hostile environment; Competition; Recovery; Branching processes; Galton–Watson trees; Epidemics;

Double-barrier first-passage times of jump-diffusion processes,
Fernández Lexuri, Hieber Peter and Scherer Matthias, in Monte Carlo Methods and Applications (2013)
Keywords: Double-barrier problem, first-exit time, first-passage time, Brownian bridge, corridor derivatives, barrier options, bonus certificates, first-touch options

Anchoring effect on first passage process in Taiwan financial market,
Hsing Liu, Chi-Yo Liao, Jing-Yuan Ko and Jiann-Shing Lih, in Physica A: Statistical Mechanics and its Applications (2017)
Keywords: First passage process; First return time; Switching point; Anchoring effect; Anomalous diffusion;

Moments of First-Passage Places for Jump-Diffusion Processes,
Mario Lefebvre, in Sankhya A: The Indian Journal of Statistics (2021)
Keywords: First-passage time, Brownian motion, Poisson process, jump size, differential-difference equation.

Simulation of First-Passage Times for Alternating Brownian Motions,
A. Crescenzo, E. Nardo and L. M. Ricciardi, in Methodology and Computing in Applied Probability (2005)
Keywords: Brownian motion, alternating infinitesimal moments, renewal process, first-passage time, simulation

Universal first-passage properties of discrete-time random walks and Lévy flights on a line: Statistics of the global maximum and records,
Satya N. Majumdar, in Physica A: Statistical Mechanics and its Applications (2010)
Keywords: Random walks; First-passage probability; Maximum; Records;

On the method of images and the asymptotic behavior of first-passage times,
Paul Zipkin, in Annals of Operations Research (2016)
Keywords: First-passage times, Method of images

Supercritical behaviors in first-passage percolation,
Yu Zhang, in Stochastic Processes and their Applications (1995)
Keywords: 60K 35 First passage percolation Supercriticality

First Passage Time of Filtered Poisson Process with Exponential Shape Function,
Alexander Novikov, R. E. Melchers, E. Shinjikashvili and N. Kordzakhia, from Quantitative Finance Research Centre, University of Technology, Sydney (2003)
Keywords: first passage times; laplace transformation; martingales; integro-differential equations; filtered poisson process; ornstein-uhlenbeck process

Extending first-passage method to reliability sensitivity analysis of motion mechanisms,
Wenxuan Wang, Hangshan Gao, Pengfei Wei and Changcong Zhou, in Journal of Risk and Reliability (2017)
Keywords: Time-dependent reliability; local reliability sensitivity; global reliability sensitivity; first-passage; PHI2; motion error function

Semiparametric and nonparametric evaluation of first-passage distribution of bivariate degradation processes,
Lochana K. Palayangoda and Hon Keung Tony Ng, in Reliability Engineering and System Safety (2021)
Keywords: Bootstrap; Empirical copula; First-passage time distribution; Gamma process; Inverse Gaussian process; Saddlepoint approximation;

First passage times on zero and one and natural exponential families,
Célestin C. Kokonendji, in Statistics & Probability Letters (2001)
Keywords: First passage time Inversion Lévy process Natural exponential family Variance function

Comparing first-passage times for semi-Markov skip-free processes,
Antonio Di Crescenzo and Luigi M. Ricciardi, in Statistics & Probability Letters (1996)
Keywords: Skip-free processes First-passage time Partial orderings Shock-repair models

On tail probabilities and first passage times for fractional Brownian motion,
Zbigniew Michna, in Mathematical Methods of Operations Research (1999)
Keywords: Key words: Fractional Brownian motion, first passage time, simulation of ruin probability, Monte Carlo method, Pickands constant,

Almost Sure Comparisons for First Passage Times of Diffusion Processes through Boundaries,
L. Sacerdote and C. E. Smith, in Methodology and Computing in Applied Probability (2004)
Keywords: diffusion process, first passage time, comparison theorem, Feller process, Ornstein–Uhlenbeck process

On telegraph processes, their first passage times and running extrema,
Nikita Ratanov, in Statistics & Probability Letters (2021)
Keywords: Asymmetric piecewise linear process; First passage time; Kac’s scaling; Coupled integral equations; Telegraphic meander; Running maximum;

Explicit asymptotic on first passage times of diffusion processes,
Angelos Dassios and Luting Li, from London School of Economics and Political Science, LSE Library (2020)
Keywords: First Passage Time; Diffusion Process; Perturbation theory; Ornstein-Uhlenbeck Process; Bessel process; Exponential-Shiryaev Process; Hypergeometric Diffusion; Special functions