Simulation of First-Passage Times for Alternating Brownian Motions

被引：0
作者：
A. Di Crescenzo
E. Di Nardo
L. M. Ricciardi
机构：
[1] Università di Salerno,Dipartimento di Matematica e Informatica
[2] Università degli Studi della Basilicata,Dipartimento di Matematica
[3] Università di Napoli Federico II,Dipartimento di Matematica e Applicazioni
来源：
Methodology and Computing in Applied Probability | 2005年 / 7卷
关键词：
Brownian motion; alternating infinitesimal moments; renewal process; first-passage time; simulation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：161 / 181
页数：20
相关论文
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