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 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

Acceder al documento

10.1007/s11009-019-09709-5

Otros archivos y enlaces

Citar esto

@article{b3b966c629e14901a7c42da760fcf913,

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.",

author = "Nikita Ratanov",

note = "Publisher Copyright: {\textcopyright} 2019, Springer Science+Business Media, LLC, part of Springer Nature.",

year = "2020",

month = mar,

day = "1",

doi = "10.1007/s11009-019-09709-5",

language = "English (US)",

volume = "22",

pages = "349--370",

journal = "Methodology and Computing in Applied Probability",

issn = "1387-5841",

publisher = "Springer",

number = "1",

}

TY - JOUR

T1 - First Crossing Times of Telegraph Processes with Jumps

AU - Ratanov, Nikita

PY - 2020/3/1

Y1 - 2020/3/1

N2 - 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.

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.

UR - https://www.scopus.com/pages/publications/85064456880

UR - https://www.scopus.com/pages/publications/85064456880#tab=citedBy

U2 - 10.1007/s11009-019-09709-5

DO - 10.1007/s11009-019-09709-5

M3 - Research Article

AN - SCOPUS:85064456880

SN - 1387-5841

VL - 22

SP - 349

EP - 370

JO - Methodology and Computing in Applied Probability

JF - Methodology and Computing in Applied Probability

IS - 1

ER -

First Crossing Times of Telegraph Processes with Jumps

Resumen

Áreas temáticas de ASJC Scopus

Acceder al documento

Otros archivos y enlaces

Huella

Citar esto