Research projects

Project CEMAPRE internal

TitleNonparametric estimation of first passage time probabilities
ParticipantsJoão Nicolau (Principal Investigator)
SummaryThis project focuses on the first passage time in a bivariate stochastic system. There are several
examples of how first passage times can be used to analyse the behaviour of two variables in a
system, such as in finance, biology, physics, engineering, and social science. For example, in
finance, first passage times might be used to study the co-movement of two stocks, in biology,
researchers might use first passage times to understand the interaction of two molecules within a
cell, and in social science, researchers might use first passage times to analyse the spread of two
different ideas within a population.