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)
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3203526002020-05-25T23:57:02Z2020-05-25T23:57:02Z2020The 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.application/pdfhttps://doi.org/10.1007/s11009-019-09709-513875841https://repository.urosario.edu.co/handle/10336/22588engSpringer370No. 1349Methodology and Computing in Applied ProbabilityVol. 22Methodology and Computing in Applied Probability, ISSN:13875841, Vol.22, No.1 (2020); pp. 349-370https://www.scopus.com/inward/record.uri?eid=2-s2.0-85064456880&doi=10.1007%2fs11009-019-09709-5&partnerID=40&md5=9e1f060c6e15aace8788db85e3903a9bAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURDouble exponential distributionFirst passage timeJump-telegraph processLaplace transformationFirst Crossing Times of Telegraph Processes with JumpsarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Ratanov, NikitaORIGINALRatanov2020_Article_FirstCrossingTimesOfTelegraphP.pdfapplication/pdf888620https://repository.urosario.edu.co/bitstreams/6a3cf884-9ab7-4c12-996b-83fe22f59feb/downloadd8cc449a9fec01da1ee2a64075becb30MD51TEXTRatanov2020_Article_FirstCrossingTimesOfTelegraphP.pdf.txtRatanov2020_Article_FirstCrossingTimesOfTelegraphP.pdf.txtExtracted texttext/plain41070https://repository.urosario.edu.co/bitstreams/2dbf206c-d5ce-4568-87f3-bc8869007c30/downloadfa11c74de3aea6bebb68cc9bb21a46f1MD52THUMBNAILRatanov2020_Article_FirstCrossingTimesOfTelegraphP.pdf.jpgRatanov2020_Article_FirstCrossingTimesOfTelegraphP.pdf.jpgGenerated Thumbnailimage/jpeg4055https://repository.urosario.edu.co/bitstreams/9047d86c-bd9e-4671-bae2-e6ec0402e3dd/download881a5c3261321cf5b0e84acd6bc28beaMD5310336/22588oai:repository.urosario.edu.co:10336/225882021-06-10 19:24:51.361https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co |
| dc.title.spa.fl_str_mv |
First Crossing Times of Telegraph Processes with Jumps |
| title |
First Crossing Times of Telegraph Processes with Jumps |
| spellingShingle |
First Crossing Times of Telegraph Processes with Jumps Double exponential distribution First passage time Jump-telegraph process Laplace transformation |
| title_short |
First Crossing Times of Telegraph Processes with Jumps |
| title_full |
First Crossing Times of Telegraph Processes with Jumps |
| title_fullStr |
First Crossing Times of Telegraph Processes with Jumps |
| title_full_unstemmed |
First Crossing Times of Telegraph Processes with Jumps |
| title_sort |
First Crossing Times of Telegraph Processes with Jumps |
| dc.subject.keyword.spa.fl_str_mv |
Double exponential distribution First passage time Jump-telegraph process Laplace transformation |
| topic |
Double exponential distribution First passage time Jump-telegraph process Laplace transformation |
| description |
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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2020 |
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2020-05-25T23:57:02Z |
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2020-05-25T23:57:02Z |
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2020 |
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article |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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Artículo |
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https://doi.org/10.1007/s11009-019-09709-5 |
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13875841 |
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https://repository.urosario.edu.co/handle/10336/22588 |
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https://doi.org/10.1007/s11009-019-09709-5 https://repository.urosario.edu.co/handle/10336/22588 |
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13875841 |
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eng |
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370 |
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No. 1 |
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349 |
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Methodology and Computing in Applied Probability |
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Vol. 22 |
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Methodology and Computing in Applied Probability, ISSN:13875841, Vol.22, No.1 (2020); pp. 349-370 |
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