TY - JOUR
T1 - First Crossing Times of Telegraph Processes with Jumps
AU - Ratanov, Nikita
N1 - Publisher Copyright:
© 2019, Springer Science+Business Media, LLC, part of Springer Nature.
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 -