First passage time of filtered Poisson process with exponential shape function

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dc.contributor.author Novikov, A
dc.contributor.author Melchers, RE
dc.contributor.author Shinjikashvili, E
dc.contributor.author Kordzakhia, N
dc.date.accessioned 2009-12-21T02:28:01Z
dc.date.issued 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.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.
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
dc.cauo.name 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
dc.classification.name Statistics en_US
dc.classification.type FOR-08 en_US
dc.custom 0.554 en_US
dc.description.keywords Filtered Poisson process
dc.description.keywords Filtered Poisson process
dc.description.keywords First passage times
dc.description.keywords First passage times
dc.description.keywords Integro-differential equations
dc.description.keywords Integro-differential equations
dc.description.keywords Laplace transform
dc.description.keywords Laplace transform
dc.description.keywords Martingales
dc.description.keywords Martingales
dc.description.keywords Ornstein-Uhlenbeck process
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/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
pubs.consider-herdc true
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history Closed (ID: 3)
utslib.collection.history Closed (ID: 3)


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