HTSP · Hitting Times for Stochastic Processes

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Project objective

The main goal of this project is to develop a qualitative theory for describing the long term atypical behaviour of stochastic processes. An important characterization of such behaviour is given by atypically large values of the time (known as the hitting time) when the process enters a set. We aim to establish new results about the probabilities of large values for the hitting times of appropriate sets for a variety of important stochastic process arising in probability theory, physics and stochastic finance.

Original text from CORDIS.

Participants

• IMPERIAL COLLEGE OF SCIENCE TECHNOLOGY AND MEDICINE · LondonCoordinatorUnited Kingdom

Links

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