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.

Simulation of first-passage times for alternating Brownian motions / A., DI CRESCENZO; E., DI NARDO; Ricciardi, LUIGI MARIA. - In: METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. - ISSN 1387-5841. - STAMPA. - 7:2(2005), pp. 161-181. [10.1007/s11009-005-1481-3]

Simulation of first-passage times for alternating Brownian motions

RICCIARDI, LUIGI MARIA
2005

Abstract

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.
2005
Simulation of first-passage times for alternating Brownian motions / A., DI CRESCENZO; E., DI NARDO; Ricciardi, LUIGI MARIA. - In: METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. - ISSN 1387-5841. - STAMPA. - 7:2(2005), pp. 161-181. [10.1007/s11009-005-1481-3]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/204573
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