First Passage Time and Extremum Properties of Markov and Independent Processes
CALIFORNIA UNIV SAN DIEGO LA JOLLA DEPT OF CHEMISTRY
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It was shown by Newell in 1962 that the extreme value and first passage time distributions of various types of common Markov processes asymptotically approach those for independent random variables. In view of the great simplification this occasions in the calculation of a number of important properties of Markov processes, it is clearly of interest to determine in some detail the conditions on both the time and space variables under which this equivalence holds. In this paper the authors investigate and establish these conditions for markov processes described by the Fokker-Planck equation and express them in simple analytic forms which are directly related to the coefficients of the Fokker-Planck equation.
- Statistics and Probability