First Crossing Times of Telegraph Processes with Jumps

Nikita Ratanov

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

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 languageEnglish (US)
Pages (from-to)349-370
Number of pages22
JournalMethodology and Computing in Applied Probability
Volume22
Issue number1
DOIs
StatePublished - Mar 1 2020

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Mathematics(all)

Fingerprint Dive into the research topics of 'First Crossing Times of Telegraph Processes with Jumps'. Together they form a unique fingerprint.

Cite this