An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps

被引：2

作者：

Giraudo, Maria Teresa ^{[1
]}

机构：

[1] Univ Turin, Dept Math, I-10123 Turin, Italy

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 13期

关键词：

1ST PASSAGE TIMES; MODEL;

D O I：

10.1016/j.spl.2009.03.019

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

An approximate solution to an integral equation for the first-crossing-time density of a Wiener process with constant amplitude jumps separated by exponential random times is shown to hold under suitable conditions and to explain some multimodal behaviors. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：1559 / 1567

页数：9

共 50 条

[1] Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary
Abundo, Mario
STOCHASTIC ANALYSIS AND APPLICATIONS, 2013, 31 (04) : 695 - 707
[2] First Crossing a Random Process
Zacks, Shelemyahu
SAMPLE PATH ANALYSIS AND DISTRIBUTIONS OF BOUNDARY CROSSING TIMES, 2017, 2203 : 97 - 99
[3] The first crossing-time density for Brownian motion with a perturbed linear boundary
Daniels, HE
BERNOULLI, 2000, 6 (04) : 571 - 580
[4] Inference for the Wiener Process With Random Initiation Time
Paroissin, Christian
IEEE TRANSACTIONS ON RELIABILITY, 2016, 65 (01) : 147 - 157
[5] PROBABILITY DENSITY OF INSTANT OF FIRST ZERO CROSSING OF SUM OF A REGULAR FUNCTION AND A RANDOM PROCESS
NARYSHKI.AK
DUBYANSK.AS
TELECOMMUNICATIONS AND RADIO ENGINEER-USSR, 1971, (09): : 57 - &
[6] DENSITY IN SHORT-TIME IN A PROCESS WITH JUMPS
LEANDRE, R
LECTURE NOTES IN MATHEMATICS, 1987, 1247 : 81 - 99
[7] Locking the Wiener Process to its Level-Crossing Time
Schwarz, Wolf
Miller, Jeff O.
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2010, 39 (02) : 372 - 381
[8] An approximate formula for calculating the expectations of functionals from random processes based on using the Wiener chaos expansion
Egorov, Alexander
MONTE CARLO METHODS AND APPLICATIONS, 2020, 26 (04): : 285 - 292
[9] APPROXIMATION OF A WIENER PROCESS LOCAL TIME BY FUNCTIONALS OF RANDOM WALKS
Ibragimov, I. A.
Smorodina, N., V
Faddeev, M. M.
THEORY OF PROBABILITY AND ITS APPLICATIONS, 2021, 66 (01) : 58 - 74
[10] APPROXIMATE SOLUTIONS FOR THE PROBABILITY DENSITY OF ZERO-CROSSING INTERVALS IN A GAUSSIAN PROCESS
MCFADDEN, JA
ANNALS OF MATHEMATICAL STATISTICS, 1958, 29 (02): : 616 - 616

← 1 2 3 4 5 →