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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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
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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