Search Results - subject:"first passage time"

Montero, Miquel - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3936-3941

Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time....

Persistent link: https://www.econbiz.de/10010872162

Simulation of Brownian motion at first-passage times

Burq, Zaeem A.; Jones, Owen D. - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 1, pp. 64-71

We show how to simulate Brownian motion not on a regular time grid, but on a regular spatial grid. That is, when it first hits points in δZ for some δ0. Central to our method is an algorithm for the exact simulation of τ, the first time Brownian motion hits ±1. This work is motivated by...

Persistent link: https://www.econbiz.de/10011050323

First passage time of multiple Brownian particles on networks with applications

Wang, Shao-Ping; Pei, Wen-Jiang - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 18, pp. 4699-4708

start out from the source s simultaneously and head to the destination h randomly. We analyze the first passage time (FPT …) Ysh(z) and the mean first passage time (MFPT) 〈Ysh(z)〉 of multiple Brownian particles on complex networks. Equations of …

Persistent link: https://www.econbiz.de/10011057966

Effects of time delay on transient behavior of a time-delayed metastable system subjected to cross-correlated noises

Jia, Zheng-Lin - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 25, pp. 6247-6251

The effects of time delay on the transient properties of a time-delayed metastable system subjected to cross-correlated noises are studied by means of a stochastic simulation method. It is found that: (i) Both additive noise and multiplicative noise can produce the noise enhanced stability...

Persistent link: https://www.econbiz.de/10011063645

First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights

Nardon, Martina - In: Frontiers in Finance and Economics 5 (2008) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10004998280

A kinetic model for the premelting of a crystalline structure

Djikaev, Yuri; Ruckenstein, Eli - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 1, pp. 134-144

An analytical kinetic approach to examine the premelting phenomenon is suggested by using a first passage time analysis …-located) molecule to leave its lattice site and form a Frenkel defect, is calculated by using a first passage time analysis. The model … the mean first passage time has two clearly distinct regimes: at low temperatures the dependence is sharp and at high …

Persistent link: https://www.econbiz.de/10010588776

Fractional nonlinear diffusion equation and first passage time

Wang, Jun; Zhang, Wen-Jun; Liang, Jin-Rong; Xiao, Jian-Bin - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 4, pp. 764-772

We investigate the solutions and the first passage time for anomalous diffusion processes governed by the fractional … initial condition. We obtain explicit analytical expression for the probability distribution, the first passage time … distribution, the mean first passage time, and the mean squared displacement corresponding to different time-dependent diffusion …

Persistent link: https://www.econbiz.de/10010590022

On the first passage time and leapover properties of Lévy motions

Koren, T.; Chechkin, A.V.; Klafter, J. - In: Physica A: Statistical Mechanics and its Applications 379 (2007) 1, pp. 10-22

We investigate two coupled properties of Lévy stable random motions: the first passage times (FPTs) and the first passage leapovers (FPLs). While, in general, the FPT problem has been studied quite extensively, the FPL problem has hardly attracted any attention. Considering a particle that...

Persistent link: https://www.econbiz.de/10011059825

Advection and dispersion in time and space

Baeumer, B.; Benson, D.A.; Meerschaert, M.M. - In: Physica A: Statistical Mechanics and its Applications 350 (2005) 2, pp. 245-262

to the probability distribution of particle waiting times and the subordinator is given as the first passage time density …

Persistent link: https://www.econbiz.de/10010590594

Mean first-passage time for diffusion on fractal lattices with imposed boundary conditions

Chełminiak, Przemysław; Kurzyński, Michał - In: Physica A: Statistical Mechanics and its Applications 342 (2004) 3, pp. 507-515

Relation between the mean first-passage time and the chemical distance for diffusion on fractal lattices with imposed …

Persistent link: https://www.econbiz.de/10011060692