First-passage Processes

first-passage time of a set A with respect to a stochastic process is the time until the random outcome has reached the set A. A common example of a first-passage problem is a ruin problem, such as gambler's ruin. The question to answer in that case is when does the gambler s money reach zero?

First-passage Processes Laplace-transforming

Exercise
what is the first-passage probability for a random walk to reach the origin starting a distance L away? And what is the mean first-passage time to reach the origin starting a distance L away?

FL (0, ) = e
Mean First Passage Time:

L D

t =

dt t FL (0, t) =

d FL (0, ) d

=0

Exercise
Find the first-passage probability and mean first-passage time of the previous exercise but the results are derived by writing the random walk probability taking into account that there is an absorbing boundary at the origin:

1 Px0 (x, t ) = p 4p Dt

(x x0 )2 4Dt

(x+x0 )2 4Dt

Use the probability function above which satisfies the boundary condition of being zero at the origin where the target is zero and calculate the survival probability starting at a distance L from the origin, the corresponding first-passage probability and the mean first-passage time (see next slide)

Survival probability
The survival probability is the probability that the random walker has not been absorbed by the boundary at time t

Fx0 (0, t) =

dSx0 (t) dt

Which is identical to the first-passage probability calculated through the laplace expression when x 0=L