First Crossing Times of Telegraph Processes with Jumps

Nikita Ratanov

doi:10.1007/s11009-019-09709-5

First Crossing Times of Telegraph Processes with Jumps

Nikita Ratanov

urosario

Research output: Contribution to journal › Research Article › peer-review

8 Scopus citations

Abstract

The paper presents exact formulae related to the distribution of the first passage time τ_x of the jump-telegraph process. In particular, the Laplace transform of τ_x 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)
Pages (from-to)	349-370
Number of pages	22
Journal	Methodology and Computing in Applied Probability
Volume	22
Issue number	1
DOIs	https://doi.org/10.1007/s11009-019-09709-5
State	Published - Mar 1 2020

All Science Journal Classification (ASJC) codes

Statistics and Probability
General Mathematics

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title = "First Crossing Times of Telegraph Processes with Jumps",

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.",

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AB - 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.

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AN - SCOPUS:85064456880

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JO - Methodology and Computing in Applied Probability

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First Crossing Times of Telegraph Processes with Jumps

Abstract

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