DocumentCode
2374504
Title
First passage time problems with applications to synchronization
Author
Suwansantisuk, Watcharapan ; Win, Moe Z. ; Shepp, Lawrence A.
Author_Institution
Lab. for Inf. & Decision Syst., Massachusetts Inst. of Technol., Cambridge, MD, USA
fYear
2012
fDate
10-15 June 2012
Firstpage
2580
Lastpage
2584
Abstract
First passage time problems arise in many fields, but few of them are explicitly solved. Motivated by an application to synchronization of clocks, this paper obtains the probability distribution for the first passage time for a Brownian motion with quadratic drift to exit from two constant barriers that are not necessarily symmetric. The expression for the distribution is explicit, consisting of elementary functions and functions that are characterized by Laplace transforms. Applications of first passage times are demonstrated in the context of synchronization.
Keywords
Brownian motion; Laplace transforms; clocks; synchronisation; Brownian motion; Laplace transforms; clocks; first passage time problems; quadratic drift; synchronization; Calibration; Clocks; Joints; Noise; Probability distribution; Random processes; Synchronization;
fLanguage
English
Publisher
ieee
Conference_Titel
Communications (ICC), 2012 IEEE International Conference on
Conference_Location
Ottawa, ON
ISSN
1550-3607
Print_ISBN
978-1-4577-2052-9
Electronic_ISBN
1550-3607
Type
conf
DOI
10.1109/ICC.2012.6364225
Filename
6364225
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