Title of article
First passage time of filtered Poisson process with exponential shape function
Author/Authors
Novikov، نويسنده , , A. and Melchers، نويسنده , , R.E. and Shinjikashvili، نويسنده , , E. and Kordzakhia، نويسنده , , N.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
9
From page
57
To page
65
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.
Keywords
First passage times , Laplace transform , Ornstein–Uhlenbeck process , Filtered Poisson process , martingales , Integro-differential equations
Journal title
Probabilistic Engineering Mechanics
Serial Year
2005
Journal title
Probabilistic Engineering Mechanics
Record number
1567436
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