- Title
- First passage time of filtered Poisson process with exponential shape function
- Creator
- Novikov, A.; Melchers, Robert E.; Shinjikashvili, E.; Kordzakhia, N.
- Relation
- Probabilistic Engineering Mechanics Vol. 20, no. 1, p. 57-65
- Publisher
- Computational Mechanics Publications
- Resource Type
- journal article
- Date
- 2005
- Description
- 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.
- Subject
- first passage times; laplace transform; martingales; integro-differential equations; filtered Poisson process; Omstein-Uhlenbeck process; gaussian random-walks
- Identifier
- uon:425
- Identifier
- http://hdl.handle.net/1959.13/25302
- Identifier
- ISSN:0266-8920
- Language
- eng
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