| Autor: |
Di Crescenzo, A., Di Nardo, E., Ricciardi, L. M. |
| Rok vydání: |
2021 |
| Předmět: |
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| Zdroj: |
Meth. Comp. In Applied Probab. (2005) 7, 161--181 |
| Druh dokumentu: |
Working Paper |
| DOI: |
10.1007/s11009-005-1481-3 |
| Popis: |
The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by an alternating renewal process. Bounds to the first-passage-time density and distribution function are obtained, and a simulation procedure to estimate first-passage-time densities is constructed. Examples of applications to problems in environmental sciences and mathematical finance are also provided. |
| Databáze: |
arXiv |
| Externí odkaz: |
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