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EE Seminar Series #6: James Holehouse

First-Passage Time Distributions in One-Dimensional Ruin Problems

Online

First-Passage Time Distributions in One-Dimensional Ruin Problems

In this talk, James Holehouse (Santa Fe Institute) presents a solution for the first-passage time distribution on a generalized one-dimensional finite interval using the “backward” master equations approach and generating functions. He highlights several non-intuitive aspects of the problem: (I) first-passage times on disordered intervals cannot be effectively studied through simulations, (II) there is a highly variable spatial dependence of the first-passage time, and (III) the distributions of first-passage times appear as bimodal.

The seminar was hosted by James King (Science Practice) and Emilie Rosenlund Soysal (London Mathematical Laboratory).