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

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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Jump-diffusion process; Fixed point; Multimodality
M.T. Giraudo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/56935
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