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math.PR2025
First-passage time for PDifMPs: an Exact simulation approach for time-varying thresholds
Sascha Desmettre, Devika Khurana, Amira Meddah
Piecewise Diffusion Markov Processes (PDifMPs) are valuable for modelling systems where continuous dynamics are interrupted by sudden shifts and/or changes in drift and diffusion.…
math.PR2024
Exact simulation of the first-passage time of SDEs to time-dependent thresholds
Devika Khurana, Sascha Desmettre, Evelyn Buckwar
The first-passage time (FPT) is a fundamental concept in stochastic processes, representing the time it takes for a process to reach a specified threshold for the first time. Often…