First passage time of filtered Poisson process with exponential shape function

Novikov, A; Melchers, RE; Shinjikashvili, E; Kordzakhia, N

First passage time of filtered Poisson process with exponential shape function

Novikov, A

Melchers, RE Shinjikashvili, E Kordzakhia, N

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Publication Type:: Journal Article
Citation:: Probabilistic Engineering Mechanics, 2005, 20 (1), pp. 57 - 65
Issue Date:: 2005-01-01

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Field	Value	Language
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.author	Melchers, RE	en_US
dc.contributor.author	Shinjikashvili, E	en_US
dc.contributor.author	Kordzakhia, N	en_US
dc.date.issued	2005-01-01	en_US
dc.identifier.citation	Probabilistic Engineering Mechanics, 2005, 20 (1), pp. 57 - 65	en_US
dc.identifier.issn	0266-8920	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3424
dc.description.abstract	Solving some integro-differential equation we find the Laplace transform of the first passage time for filtered Poisson process generated by pulses with uniform or exponential distributions. Also, the martingale technique is applied for approximations of expectations and distributions of the first passage times. The approximations accuracy is verified with the help of Monte-Carlo simulations. © 2004 Elsevier Ltd. All rights reserved.	en_US
dc.relation.ispartof	Probabilistic Engineering Mechanics	en_US
dc.relation.isbasedon	10.1016/j.probengmech.2004.04.005	en_US
dc.subject.classification	Civil Engineering	en_US
dc.title	First passage time of filtered Poisson process with exponential shape function	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	20	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	0104 Statistics	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	09 Engineering	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	20	en_US

Abstract:

Solving some integro-differential equation we find the Laplace transform of the first passage time for filtered Poisson process generated by pulses with uniform or exponential distributions. Also, the martingale technique is applied for approximations of expectations and distributions of the first passage times. The approximations accuracy is verified with the help of Monte-Carlo simulations. © 2004 Elsevier Ltd. All rights reserved.

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http://hdl.handle.net/10453/3424