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 jump...

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Autor Principal: Ratanov, Nikita
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: Springer 2020
Materias:
Acceso en línea:https://repository.urosario.edu.co/handle/10336/22588
https://doi.org/10.1007/s11009-019-09709-5
id ir-10336-22588
recordtype dspace
spelling ir-10336-225882021-06-11T00:24:51Z First Crossing Times of Telegraph Processes with Jumps Ratanov, Nikita Double exponential distribution First passage time Jump-telegraph process Laplace transformation 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. 2020 2020-05-25T23:57:02Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 13875841 https://repository.urosario.edu.co/handle/10336/22588 https://doi.org/10.1007/s11009-019-09709-5 eng info:eu-repo/semantics/openAccess application/pdf Springer instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR
institution EdocUR - Universidad del Rosario
collection DSpace
language Inglés (English)
topic Double exponential distribution
First passage time
Jump-telegraph process
Laplace transformation
spellingShingle Double exponential distribution
First passage time
Jump-telegraph process
Laplace transformation
Ratanov, Nikita
First Crossing Times of Telegraph Processes with Jumps
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.
format Artículo (Article)
author Ratanov, Nikita
author_facet Ratanov, Nikita
author_sort Ratanov, Nikita
title First Crossing Times of Telegraph Processes with Jumps
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
publisher Springer
publishDate 2020
url https://repository.urosario.edu.co/handle/10336/22588
https://doi.org/10.1007/s11009-019-09709-5
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