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First Crossing Times of Telegraph Processes with Jumps
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Autores
Ratanov, Nikita
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Fecha
2020
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Springer
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Abstract
The paper presents exact formulae related to the distribution of the first passage time ?x of the jump-telegraph process. In particular, the Laplace transform of ?x is analysed, when a jump component is in the opposite direction to the crossing level x and gt; 0. The case of double exponential jumps is also studied in detail. © 2019, Springer Science+Business Media, LLC, part of Springer Nature.
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Keywords
Double exponential distribution , First passage time , Jump-telegraph process , Laplace transformation
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