Hitting time

In the study of stochastic processes in mathematics, a hitting time (or first hit time) is the first time at which a given process "hits" a given subset of the state space.

Let T be an ordered index set such as the natural numbers, ⁠

⁠ the non-negative real numbers, [0, +∞), or a subset of these; elements ⁠

be a stochastic process, and let A be a measurable subset of the state space S. Then the first hit time

is the random variable defined by The first exit time (from A) is defined to be the first hit time for S \ A, the complement of A in S. Confusingly, this is also often denoted by τA.

[1] The first return time is defined to be the first hit time for the singleton set {X0(ω)}, which is usually a given deterministic element of the state space, such as the origin of the coordinate system.

The hitting time of a set F is also known as the début of F. The Début theorem says that the hitting time of a measurable set F, for a progressively measurable process with respect to a right continuous and complete filtration, is a stopping time.

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 {0} by this process is the considered stopping time.