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On Exponential Limit Laws for Hitting Times of Rare Sets for Harris Chains and Processes
Hitting times regenerative process Harris recurrent Markov chains Harris recurrent Markov processes
2015/7/6
This paper provides a simple proof for the fact that the hitting time to an infrequently visited subset for a one-dependent regenerative process converges weakly to an exponential distribution. Specia...
First hitting times and positions of concentric spheres for testing the drift of a diffusion process
First hitting times positions of concentric spheres a diffusion process
2009/9/23
First hitting times and positions of concentric spheres for testing the drift of a diffusion process。
The of the Hitting Times to Points by a Stable Levy Process with No Negative Jumps
Law Stable Levy Process density function
2009/3/23
Let $X=(X_t)_{t ge 0}$ be a stable L'evy process of index $alpha in (1,2)$ with the L'evy measure $nu(dx) = (c/x^{1+alpha}):! I_{(0,infty)}(x), dx$ for $c>0$, let $x>0$ be given and fixed, and let $ta...