Hitting time

Let be an ordered index set such as the natural numbers, the non-negative real numbers, , or a subset of these; elements can be thought of as "times". Given a probability space and a measurable state space , let X :\Omega \times T \to S be a stochastic process, and let be a measurable subset of the state space . Then the first hit time \tau_A : \Omega \to [0, +\infty] is the random variable defined by :\tau_A (\omega) := \inf \{ t \in T \mid X_t (\omega) \in A \}. The first exit time (from ) is defined to be the first hit time for , the complement of in . Confusingly, this is also often denoted by . The first return time is defined to be the first hit time for the singleton set {{math|{X0(ω)},}} which is usually a given deterministic element of the state space, such as the origin of the coordinate system. ==Examples==

• Any stopping time is a hitting time for a properly chosen process and target set. This follows from the converse of the Début theorem (Fischer, 2013). • Let denote standard Brownian motion on the real line starting at the origin. Then the hitting time satisfies the measurability requirements to be a stopping time for every Borel measurable set • For as above, let () denote the first exit time for the interval , i.e. the first hit time for (-\infty,-r]\cup [r, +\infty). Then the expected value and variance of satisfy \begin{align} \operatorname{E} \left[ \tau_r \right] &= r^2, \\ \operatorname{Var} \left[ \tau_r \right] &= \tfrac{2}{3} r^4. \end{align} • For as above, the time of hitting a single point (different from the starting point 0) has the Lévy distribution. • The narrow escape problem considers the time it takes for a confined particle, undergoing Brownian motion, to escape through a small opening. ==Début theorem==

The hitting time of a set is also known as the début of . The Début theorem says that the hitting time of a measurable set , for a progressively measurable process with respect to a right continuous and complete filtration, is a stopping time. Progressively measurable processes include, in particular, all right and left-continuous adapted processes. The proof that the début is measurable is rather involved and involves properties of analytic sets. The theorem requires the underlying probability space to be complete or, at least, universally complete. The converse of the Début theorem states that every stopping time defined with respect to a filtration over a real-valued time index can be represented by a hitting time. In particular, for essentially any such stopping time there exists an adapted, non-increasing process with càdlàg (RCLL) paths that takes the values 0 and 1 only, such that the hitting time of the set {{math|{0} }} by this process is the considered stopping time. The proof is very simple. ==Markov chains==

If a Markov chain is irreducible and positive-recurrent, then the stationary distribution is unique and given by \begin{align} \pi(i)=\frac{1}{\operatorname{E} \left[ \tau_i \right]} \end{align} where is the hitting time for a state . This can be viewed as a special case of Kac's lemma. ==See also==