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Find the distribution of the hitting time of Pi for a 3D Bessel process?

Posted 5 years ago

Hello, I have a 3-dimensional Bessel process and I need to find the distribution of the hitting time of Pi, from which I will need to take a sample using RandomVariate. The code for the process is

R = TransformedProcess[
  Sqrt[x[t]^2 + y[t]^2 + z[t]^2], {x \[Distributed] WienerProcess[], 
   y \[Distributed] WienerProcess[], 
   z \[Distributed] WienerProcess[]}, t]

Now, to simulate the hitting time I tried to use the function

FirstPassageTimeDistribution[R,Pi]

but it doesn't work, and I have the following error message:

The first argument TransformedProcess[Sqrt[[FormalP]1[[FormalT]]^2+[FormalP]2[[FormalT]]^2+[FormalP]3[[FormalT]]^2],{[FormalP]1[Distributed]WienerProcess[0,1],[FormalP]2[Distributed]WienerProcess[0,1],[FormalP]3[Distributed]WienerProcess[0,1]},[FormalT]] is not a valid finite-state Markov process.

In the documentation, I read that FirstPassageTimeDistribution works with continuous processes, so the problem should be only the space on which the Bessel process moves. My process moves in the interval [0, Pi], so I don't need to generate a process that moves on the whole space. Thinking that it could help to solve the problem, I tried to use Assumptions in TransformedProcess to tell Mathematica that my process moves on the interval [0, Pi], but it didn't work. Is there a way to simulate the hitting time for non-finite spaces, or a way to tell Mathematica that my process moves on the interval [0, Pi]?

Thank you,

Roberta

POSTED BY: Roberta Merli
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