An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion
Sign Up to like & getrecommendations! Published in 2017 at "Methodology and Computing in Applied Probability"
DOI: 10.1007/s11009-017-9542-y
Abstract: We define the drawdown stopping time of a Brownian motion as the first time its drawdown reaches a duration of length 1. In this paper, we propose an efficient algorithm to efficiently simulate the drawdown… read more here.
Keywords: drawdown stopping; time; brownian motion; efficient algorithm ... See more keywords
Recursive formula for the double-barrier Parisian stopping time
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2018.17
Abstract: Abstract In this paper we obtain a recursive formula for the density of the double-barrier Parisian stopping time. We present a probabilistic proof of the formula for the first few steps of the recursion, and… read more here.
Keywords: double barrier; parisian stopping; stopping time; barrier parisian ... See more keywords
Improved Finite Time in Eliminating Disagreement of Opinion Dynamics via Noise
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DOI: 10.1155/2017/1098169
Abstract: We aim to refine the estimation of the finite stopping time when the disagreement in an opinion group is eliminated by a simple but novel noise intervened strategy. It has been proved that, by using… read more here.
Keywords: finite time; time; disagreement opinion; noise ... See more keywords
Modeling Drivers’ Stopping Behaviors during Yellow Intervals at Intersections considering Group Heterogeneity
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DOI: 10.1155/2020/8818496
Abstract: Stopping behavior during yellow intervals is one of the critical driver behaviors correlated with intersection safety. As the main index of stopping behavior, stopping time is typically described by Accelerated Failure Time (AFT) model. In… read more here.
Keywords: group; time; yellow intervals; group heterogeneity ... See more keywords