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.
An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps
GIRAUDO, Maria Teresa
2009-01-01
Abstract
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.
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