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

Universidad del Rosario

Producción científica: Contribución a una revista › Artículo de Investigación › revisión exhaustiva

8 Citas (Scopus)

Resumen

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.

Idioma original	Inglés estadounidense
Páginas (desde-hasta)	349-370
Número de páginas	22
Publicación	Methodology and Computing in Applied Probability
Volumen	22
N.º	1
DOI	https://doi.org/10.1007/s11009-019-09709-5
Estado	Publicada - mar. 1 2020

Áreas temáticas de ASJC Scopus

Estadística y probabilidad
Matemáticas General

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10.1007/s11009-019-09709-5

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First Crossing Times of Telegraph Processes with Jumps

Resumen

Áreas temáticas de ASJC Scopus

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