Abstract
The paper presents exact formulae related to the distribution of the first passage time τx of the jump-telegraph process. In particular, the Laplace transform of τx is analysed, when a jump component is in the opposite direction to the crossing level x > 0. The case of double exponential jumps is also studied in detail.
Original language | English (US) |
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Pages (from-to) | 349-370 |
Number of pages | 22 |
Journal | Methodology and Computing in Applied Probability |
Volume | 22 |
Issue number | 1 |
DOIs | |
State | Published - Mar 1 2020 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Mathematics(all)