Search Results - subject:"First‐Hitting Time"

Approximating the randomized hitting time distribution of a non-stationary gamma process

Nicolai, R.P.; Frenk, Frenk, J.B.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

The non-stationary gamma process is a non-decreasing stochastic process with independent increments. By this monotonic behavior this stochastic process serves as a natural candidate for modelling time-dependent phenomena such as degradation. In condition-based maintenance the first time such a...

Persistent link: https://www.econbiz.de/10010837812

Approximating the Randomized Hitting Time Distribution of a Non-stationary Gamma Process

Frenk, J.B.G.; Nicolai, R.P. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007

for its cdf. Free Keywords Non-stationary gamma process, First hitting time, Random threshold, Condition based …. Keywords: non-stationary gamma process, first hitting time, random threshold, condition- based maintenance, approximation … a way that the first hitting time of R can take a wide range of values we fix the value of the expectation of R to 100 …

Persistent link: https://www.econbiz.de/10005288831

The Use of the Black Model of Interest Rates as Options for Monitoring the JGB Market Expectations

Ueno, Yoichi; Baba, Naohiko; Sakurai, Yuji - Bank of Japan - 2006

throughout the period and rise toward zero quite recently. Third, the first hitting time until the negative shadow interest rate … month. Fourth, the estimated probability density function of the first hitting time shows that the JGB market expectations …

Persistent link: https://www.econbiz.de/10010894502

Perpetual American options in a diffusion model with piecewise-linear coefficients

Gapeev, Pavel V.; Rodosthenous, Neofytos - In: Statistics & Risk Modeling 30 (2013) 1, pp. 1-21

Abstract We derive closed form solutions to the discounted optimal stopping problems related to the pricing of the perpetual American standard put and call options in an extension of the Black–Merton–Scholes model with piecewise-constant dividend and volatility rates. The method of proof is...

Persistent link: https://www.econbiz.de/10014622239

The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model

Dickson, David C.M.; Li, Shuanming - In: Insurance: Mathematics and Economics 52 (2013) 3, pp. 490-497

We study the distributions of [1] the first time that the surplus reaches a given level and [2] the duration of negative surplus in a Sparre Andersen risk process with the inter-claim times being Erlang(2) distributed. These distributions can be obtained through the inversion of Laplace...

Persistent link: https://www.econbiz.de/10010665832

Threshold regression for time-to-event analysis: The stthreg package

Xiao, Tao; Whitmore, G. A.; He, Xin; Lee, Mei-Ling Ting - In: Stata Journal 12 (2012) 2, pp. 257-283

based on the first hitting time of a boundary by the sample path of a Wiener diffusion process and is well suited to …

Persistent link: https://www.econbiz.de/10011002409

On an Alternative Approach to Pricing General Barrier Options

Suchanecki, Michael - 2004

hitting time density to the barrier. The lateral Chapman-Kolmogorov relation is used as a major tool in order to determine …In this paper, an alternative approach to pricing barrier options is presented that relies on the use of the first …

Persistent link: https://www.econbiz.de/10010267229

On an Alternative Approach to Pricing General Barrier Options

Suchanecki, Michael - University of Bonn, Germany - 2004

Persistent link: https://www.econbiz.de/10004968443

Joint Analysis of Current Status and Marker Data: An Extension of a Bivariate Threshold Model

Tong, Xingwei; He, Xin; Sun, Jianguo; Lee, Mei-Ling - In: International Journal of Biostatistics 4 (2008) 1, pp. 1122-1122

This paper considers joint analysis of current status and marker data using a threshold model based on first hitting times. A failure time is defined as the time at which a subject's latent health status process first decreases to zero. We extend the bivariate Wiener process model in Whitmore et...

Persistent link: https://www.econbiz.de/10005752618

Convergence and first hitting time of simulated annealing algorithms for continuous global optimization

Locatelli, M. - In: Computational Statistics 54 (2001) 2, pp. 171-199

assumption of known optimal value, the convergence of the algorithms and an upper bound for the expected first hitting time, i …

Persistent link: https://www.econbiz.de/10010847709