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
收藏
页码：1559 / 1567
页数：9
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