• Title/Summary/Keyword: first passage time

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First-Passage Time Distribution of Discrete Time Stochastic Process with 0-state

  • Park, Young-Sool
    • Journal of the Korean Data and Information Science Society
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    • v.8 no.2
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    • pp.119-125
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    • 1997
  • We handle the stochastic processes of independent and identically distributed random variables. But random variables are usually dependent among themselves in actual life. So in this paper, we find out a new process not satisfying Markov property. We investigate the probability mass functions and study on the probability of the first-passage time. Also we find out the average frequency of continuous successes in from 0 to n time.

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The First Passage Time of Stock Price under Stochastic Volatility

  • Nguyen, Andrew Loc
    • Journal of the Korean Data and Information Science Society
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    • v.15 no.4
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    • pp.879-889
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    • 2004
  • This paper gives an approximation to the distribution function of the .rst passage time of stock price when volatility of stock price is modeled by a function of Ornstein-Uhlenbeck process. It also shows how to obtain the error of the approximation.

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Average run length calculation of the EWMA control chart using the first passage time of the Markov process (Markov 과정의 최초통과시간을 이용한 지수가중 이동평균 관리도의 평균런길이의 계산)

  • Park, Changsoon
    • The Korean Journal of Applied Statistics
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    • v.30 no.1
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    • pp.1-12
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    • 2017
  • Many stochastic processes satisfy the Markov property exactly or at least approximately. An interested property in the Markov process is the first passage time. Since the sequential analysis by Wald, the approximation of the first passage time has been studied extensively. The Statistical computing technique due to the development of high-speed computers made it possible to calculate the values of the properties close to the true ones. This article introduces an exponentially weighted moving average (EWMA) control chart as an example of the Markov process, and studied how to calculate the average run length with problematic issues that should be cautioned for correct calculation. The results derived for approximation of the first passage time in this research can be applied to any of the Markov processes. Especially the approximation of the continuous time Markov process to the discrete time Markov chain is useful for the studies of the properties of the stochastic process and makes computational approaches easy.

An Efficient Brownian Motion Simulation Method for the Conductivity of a Digitized Composite Medium

  • Kim, In-Chan
    • Journal of Mechanical Science and Technology
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    • v.17 no.4
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    • pp.545-561
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    • 2003
  • We use the first-passage-time formulation by Torquato, Kim and Cule [J. Appl. Phys., Vol. 85, pp. 1560∼1571 (1999) ], which makes use of the first-passage region in association with the diffusion tracer's Brownian movement, and develop a new efficient Brownian motion simulation method to compute the effective conductivity of digitized composite media. By using the new method, one can remarkably enhance the speed of the Brownian walkers sampling the medium and thus reduce the computation time. In the new method, we specifically choose the first-passage regions such that they coincide with two, four, or eight digitizing units according to the dimensionality of the composite medium and the local configurations around the Brownian walkers. We first obtain explicit solutions for the relevant first-passage-time equations in two-and three-dimensions. We then apply the new method to solve the illustrative benchmark problem of estimating the effective conductivities of the checkerboard-shaped composite media. for both periodic and random configurations. Simulation results show that the new method can reduce the computation time about by an order of magnitude.

A Distribution for Regulated ${\mu}-Brownian$ Motion Process with Control Barrier at $x_{0}$

  • Park, Young-Sool
    • Journal of the Korean Data and Information Science Society
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    • v.7 no.1
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    • pp.69-78
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    • 1996
  • Consider a natural model for stochastic flow systems is Brownian motion, which is Brownian motion on the positive real line with constant drift and constant diffusion coefficient, modified by an impenetrable reflecting barrier at $x_{0}$. In this paper, we investigate the joint distribution functions and study on the distribution of the first-passage time. Also we find out the distribution of ${\mu}-RBMPx_{0}$.

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Switching and first-passage-time distributions in a two-mode ring dye laser (2모드 색소레이저 출력의 switching과 First-Passage-Time(FPT) 분포)

  • 박구동;신종태;김태수
    • Korean Journal of Optics and Photonics
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    • v.5 no.2
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    • pp.245-251
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    • 1994
  • The charateristics of switching between two modes in a ring dye laser has been analyzed by the Monte-Carlo computer simulation. The effect of including pump fluctuations in the first-passage-time (FPT) distributions was compared with the distribution with the quantum fluctuation. The results show the same tendency in both cases, such as steep increases from 0 to peak an exponential decrease in long time range. However the introduction of pumping fluctuation is turned out to shorten the mean FPT. The variation of the mean FPT is examined for the various fluctuationrelated parameters. The mean FPT is lengthened when pump parameter a is increased while it is shorted when Q. $\GAMMA$ are decreased. eased.

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Connectivity and Conductivity of a Three-Dimensional Checkerboard-Shaped Composite Material (체커보드 형상을 가진 3차원 복합소재의 연결도와 전도율)

  • KIm, In-Chan
    • Transactions of the Korean Society of Mechanical Engineers B
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    • v.28 no.2
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    • pp.189-198
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    • 2004
  • We consider the problem of whether the three-dimensional checkerboard has the connectivity. For this purpose, we first consider the problem of determining the effective conductivity of a checkerboard-shaped composite material by the Brownian motion simulation method. Specifically, we use the efficient first-passage-time technique. Simulation results show that the effective conductivity of the three-dimensional checkerboard increases faster than the two-dimensional counterpart as the contrast between the phase conductivities increases. This implies that the three-dimensional checkerboard's connectivity is stronger than the two-dimensional checkerboard's and thus each phase material of the three-dimensional checkerboard is more likely to be connected than not to be connected.

A Diffusion Model for a System Subject to Random Shocks

  • Lee, Eui-Yong;Song, Mun-Sup;Park, Byung-Gu
    • Journal of the Korean Statistical Society
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    • v.24 no.1
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    • pp.141-147
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    • 1995
  • A diffusion model for a system subject to random shocks is introduced. It is assumed that the state of system is modeled by a Brownian motion with negative drift and an absorbing barrier at the origin. It is also assumed that the shocks coming to the system according to a Poisson process decrease the state of the system by a random amount. It is further assumed that a repairman arrives according to another Poisson process and repairs or replaces the system i the system, when he arrives, is in state zero. A forward differential equation is obtained for the distribution function of X(t), the state of the systme at time t, some boundary conditions are discussed, and several interesting characteristics are derived, such as the first passage time to state zero, F(0,t), the probability of the system being in state zero at time t, and F(0), the limit of F(0,t) as t tends to infinity.

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First Passage Time between Ends of a Polymer Chain

  • Sung, Jae-Young
    • Journal of the Korean Chemical Society
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    • v.51 no.3
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    • pp.227-231
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    • 2007
  • We improve Wilehemski-Fixmann theory for intrachain reaction dynamics of a polymer chain by taking into account excluded volume effects between reactive groups in the polymerchain. An approximate analytic expression for the intra-chain reaction dynamics is obtained for Gaussian chain model and compared to Brownian dynamics simulation results. The results of the present theory are in a better agreement to Brownian dynamics simulation results than those calculated by previously reported theories.