First-hitting-time model

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1. In statistics, first-hitting-time models are a sub-class of survival models.
2. A common example of a first-hitting-time model is a ruin problem, such as Gambler's ruin.
3. First-hitting-time models can be applied to expected lifetimes, of patients or mechanical devices.
4. An approach was developed to describe the first passage time (FPT) in multistep stochastic processes with discrete states governed by a master equation (ME).
5. The importance of first-passage phenomena stems from its fundamental role in stochastic processes that are triggered by a first passage event.
6. In the first-passage time model, the trigger process can be either an accounting ratio or a market price.
7. Equation (15) also shows that the CoCos pricing problem is the first-passage time problem of two different Lévy processes (2) and (11).
8. Since rare forms of Lévy process have solved first-passage time problem, it is not easy to give closed-form expression for CoCos price if these two Lévy processes have different forms.
9. The Lévy framework shows hybrid nature of CoCos intuitively and reduces the CoCos pricing problem to the first-passage time problem of trigger process.
10. First-passage-time distribution for Wiener processes has a single peak, while that for stocks exhibits a notable second peak within a trading day.
11. In particular, we obtain the mean first passage time for CTRW processes with truncated power-law transition time distribution.
12. Approximation of the first passage time density of a Wiener process to an exponentially decaying boundary by two-piecewise linear threshold.
13. Furthermore, the derivation of closed-form analytical solutions to the first passage probability for nonstationary processes has not been very successful except for Gaussian process.
14. At the first passage time, a node in the network is able to process the packets that are transmitted as parts of the calibration.
15. On the First Passage Time Across a Given Level for Processes with Independent Increments.

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• ID : Q5452195

Spacy 패턴 목록

• [{'LOWER': 'first'}, {'OP': '*'}, {'LOWER': 'hitting'}, {'OP': '*'}, {'LOWER': 'time'}, {'LEMMA': 'model'}]
• [{'LOWER': 'first'}, {'OP': '*'}, {'LOWER': 'passage'}, {'OP': '*'}, {'LEMMA': 'process'}]