First Crossing Times of Telegraph Processes with Jumps

Nikita Ratanov

Research output: Contribution to journalResearch Articlepeer-review

6 Scopus citations


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 languageEnglish (US)
Pages (from-to)349-370
Number of pages22
JournalMethodology and Computing in Applied Probability
Issue number1
StatePublished - Mar 1 2020

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • General Mathematics


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