We investigate some important probabilistic properties relating to the first passage time of a hyperexponential jump diffusion process, including its finiteness, expectation, conditional memorylessness, and conditional independence. Moreover, the joint distribution of the first passage time and the
On the First-Passage Area of a One-Dimensional Jump-Diffusion Process
โ Scribed by Mario Abundo
- Book ID
- 120748448
- Publisher
- Springer US
- Year
- 2011
- Tongue
- English
- Weight
- 377 KB
- Volume
- 15
- Category
- Article
- ISSN
- 1387-5841
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract The first passage time (FPT) problem is an important problem with a wide range of applications in science, engineering, economics, and industry. Mathematically, such a problem can be reduced to estimating the probability of a stochastic process first to reach a boundary level. In most i
A conjecture on the convergence of diffusion models in population genetics to a simple Markov chain model is proved. The notion of bi-generalized diffusion processes and their limit theorems are used systematically to prove the conjecture. Three limits; strong selection-weak mutation limit, moderate