EXIT TIMES FOR SOME ADDITIVE PROCESSES
by Prof Martin Jacobsen, University of Copenhagen
Abstract: The problem studied is the classical one of determining theâ€¨ distribution (e.g., the Laplace transform) of the first time a real valuedâ€¨ stochastic process X crosses below a given level. The technique used,â€¨ which involves 'partial eigenfunctions' (e.g., for the generator of aâ€¨ continuous time Markov process), has proven quite effective for handling â€¨some complicated models. The technique will be illustrated by considering â€¨random walks in discrete time and some of the new results obtained using â€¨the partial eigenfunction method will then be mentioned: for these, X â€¨itself need not be Markov, but there is a second process Y, such thatâ€¨ (X,Y) is Markov.
For More Information: For further information please contact, Prof Daniel Dufresne at firstname.lastname@example.org or Dr Aihua Xia on: email@example.com