First Passage Time of a Markov Chain That Converges to Bessel Process
Author
Source
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-12-03
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
We investigate the probability of the first hitting time of some discrete Markov chain that converges weakly to the Bessel process.
Both the probability that the chain will hit a given boundary before the other and the average number of transitions are computed explicitly.
Furthermore, we show that the quantities that we obtained tend (with the Euclidian metric) to the corresponding ones for the Bessel process.
American Psychological Association (APA)
Kounta, Moussa. 2017. First Passage Time of a Markov Chain That Converges to Bessel Process. Abstract and Applied Analysis،Vol. 2017, no. 2017, pp.1-7.
https://search.emarefa.net/detail/BIM-1120843
Modern Language Association (MLA)
Kounta, Moussa. First Passage Time of a Markov Chain That Converges to Bessel Process. Abstract and Applied Analysis No. 2017 (2017), pp.1-7.
https://search.emarefa.net/detail/BIM-1120843
American Medical Association (AMA)
Kounta, Moussa. First Passage Time of a Markov Chain That Converges to Bessel Process. Abstract and Applied Analysis. 2017. Vol. 2017, no. 2017, pp.1-7.
https://search.emarefa.net/detail/BIM-1120843
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1120843