first time

More colloquially, a first passage time in a stochastic system, is the time taken for a state variable to reach a certain value. Understanding this metric allows one to further understand the physical system under observation, and as such has been the topic of research in very diverse fields, from economics to ecology.The idea that a first hitting time of a stochastic process might describe the time to occurrence of an event has a long history, starting with an interest in the first passage time of Wiener diffusion processes in economics and then in physics in the early 1900s. Modeling the probability of financial ruin as a first passage time was an early application in the field of insurance. An interest in the mathematical properties of first-hitting-times and statistical models and methods for analysis of survival data appeared steadily between the middle and end of the 20th century.

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