First Passage Time of a Markov Chain That Converges to Bessel Process
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...
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| Format: | Article |
| Language: | English |
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Wiley
2017-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2017/7189826 |
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| _version_ | 1832563632428285952 |
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| author | Moussa Kounta |
| author_facet | Moussa Kounta |
| author_sort | Moussa Kounta |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-4e7dbe2bb4674feebccde620719b4e14 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2017-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-4e7dbe2bb4674feebccde620719b4e142025-02-03T01:13:00ZengWileyAbstract and Applied Analysis1085-33751687-04092017-01-01201710.1155/2017/71898267189826First Passage Time of a Markov Chain That Converges to Bessel ProcessMoussa Kounta0Mathematics Department, University of the Bahamas, Nassau, BahamasWe 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.http://dx.doi.org/10.1155/2017/7189826 |
| spellingShingle | Moussa Kounta First Passage Time of a Markov Chain That Converges to Bessel Process Abstract and Applied Analysis |
| title | First Passage Time of a Markov Chain That Converges to Bessel Process |
| title_full | First Passage Time of a Markov Chain That Converges to Bessel Process |
| title_fullStr | First Passage Time of a Markov Chain That Converges to Bessel Process |
| title_full_unstemmed | First Passage Time of a Markov Chain That Converges to Bessel Process |
| title_short | First Passage Time of a Markov Chain That Converges to Bessel Process |
| title_sort | first passage time of a markov chain that converges to bessel process |
| url | http://dx.doi.org/10.1155/2017/7189826 |
| work_keys_str_mv | AT moussakounta firstpassagetimeofamarkovchainthatconvergestobesselprocess |