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...
- 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)
| Summary: | 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 is also studied in detail. © 2019, Springer Science+Business Media, LLC, part of Springer Nature. |
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