First Crossing Times of Telegraph Processes with Jumps

The paper presents exact formulae related to the distribution of the first passage time ?x of the jump-telegraph process. In particular, the Laplace transform of ?x is analysed, when a jump component is in the opposite direction to the crossing level x and gt; 0. The case of double exponential jumps...

Full description

Autores:

Tipo de recurso:

Fecha de publicación:

2020

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/22588

Acceso en línea:

https://doi.org/10.1007/s11009-019-09709-5
https://repository.urosario.edu.co/handle/10336/22588

Palabra clave:

Double exponential distribution
First passage time
Jump-telegraph process
Laplace transformation

Rights

License

Abierto (Texto Completo)