Simulation of first-passage times for alternating Brownian motions
Probability
2021-01-28 v1
Abstract
The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by an alternating renewal process. Bounds to the first-passage-time density and distribution function are obtained, and a simulation procedure to estimate first-passage-time densities is constructed. Examples of applications to problems in environmental sciences and mathematical finance are also provided.
Keywords
Cite
@article{arxiv.2101.11578,
title = {Simulation of first-passage times for alternating Brownian motions},
author = {A. Di Crescenzo and E. Di Nardo and L. M. Ricciardi},
journal= {arXiv preprint arXiv:2101.11578},
year = {2021}
}