It is considered the integrated process X(t) = (formula presented), where Y (t) is a Gauss-Markov process starting from y. The first-passage time (FPT) of X through a constant boundary and the first-exit time of X from an interval (a, b) are investigated, generalizing some results on FPT of integrated Brownian motion.
Abundo, M.r. (2015). Some remarks on first-passage times for integrated gauss-markov processes. In Extended Abstracts of the 15th International Conference on Computer Aided System Theory, EUROCAST 2015 (pp.135-142). Las Palmas de Gran Canaria : Springer Verlag [10.1007/978-3-319-27340-2_18].
Some remarks on first-passage times for integrated gauss-markov processes
ABUNDO, MARIO ROSOLINO
2015-01-01
Abstract
It is considered the integrated process X(t) = (formula presented), where Y (t) is a Gauss-Markov process starting from y. The first-passage time (FPT) of X through a constant boundary and the first-exit time of X from an interval (a, b) are investigated, generalizing some results on FPT of integrated Brownian motion.File in questo prodotto:
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