First passage time of filtered Poisson process with exponential shape function

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Show simple item record Novikov, A Melchers, RE Shinjikashvili, E Kordzakhia, N 2009-12-21T02:28:01Z 2005-01
dc.identifier.citation Probabilistic Engineering Mechanics, 2005, 20 (1), pp. 57 - 65
dc.identifier.issn 0266-8920
dc.identifier.other C1 en_US
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.
dc.language eng
dc.relation.isbasedon 10.1016/j.probengmech.2004.04.005
dc.title First passage time of filtered Poisson process with exponential shape function
dc.type Journal Article
dc.parent Probabilistic Engineering Mechanics
dc.journal.volume 1
dc.journal.volume 20
dc.journal.number 1 en_US
dc.publocation Oxford, England en_US
dc.identifier.startpage 57 en_US
dc.identifier.endpage 65 en_US SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.for 010205 Financial Mathematics
dc.for 0104 Statistics
dc.personcode 991062
dc.percentage 50 en_US Statistics en_US
dc.classification.type FOR-08 en_US
dc.custom 0.554 en_US
dc.description.keywords first passage times; laplace transform; martingales; integro-differential equations; filtered Poisson process; Omstein-Uhlenbeck process en_US
dc.description.keywords first passage times
dc.description.keywords laplace transform
dc.description.keywords martingales
dc.description.keywords integro-differential equations
dc.description.keywords filtered Poisson process
dc.description.keywords Omstein-Uhlenbeck process
dc.description.keywords Filtered Poisson process
dc.description.keywords First passage times
dc.description.keywords Integro-differential equations
dc.description.keywords Laplace transform
dc.description.keywords Martingales
dc.description.keywords Ornstein-Uhlenbeck process
pubs.embargo.period Not known
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 Sciences
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance

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