Simulation of First-Passage Times for Alternating Brownian Motions
作者： A. Di Crescenzo , E. Di Nardo , L. M. Ricciardi
DOI: 10.1007/S11009-005-1481-3
关键词: Distribution function 、 First-hitting-time model 、 Brownian motion 、 Mathematical analysis 、 Boundary (topology) 、 Combinatorics 、 Renewal theory 、 Mathematical finance 、 Infinitesimal 、 Mathematics 、 Constant (mathematics) 、 Statistics and Probability 、 General Mathematics
摘要: The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through constant boundary is considered under the assumption that time intervals between consecutive changes of these are described by an renewal process. Bounds to density and distribution function obtained, simulation procedure estimate densities constructed. Examples applications problems in environmental sciences mathematical finance also provided.
springer.com
core.ac.uk
unisa.it参考文章(19)
A Di Crescenzo, L M Ricciardi, V Giorno, A G Nobile, AN OUTLINE OF THEORETICAL AND ALGORITHMIC APPROACHES TO FIRST PASSAGE TIME PROBLEMS WITH APPLICATIONS TO BIOLOGICAL MODELING Mathematica japonicae. ,vol. 50, pp. 247- 322 ,(1999)
Michael Greiner, Manfred Jobmann, Claudia Klüppelberg, Telecommunication traffic, queueing models, and subexponential distributions Queueing Systems. ,vol. 33, pp. 125- 152 ,(1999) , 10.1023/A:1019120011478
J. George Shanthikumar, Moshe Shaked, Stochastic orders and their applications ,(1994)
David Cyranoski, Swimming against the tide Nature. ,vol. 408, pp. 764- 766 ,(2000) , 10.1038/35048748
Kazuo Kitamura, Makio Tokunaga, Atsuko Hikikoshi Iwane, Toshio Yanagida, A single myosin head moves along an actin filament with regular steps of 5.3 nanometres Nature. ,vol. 397, pp. 129- 134 ,(1999) , 10.1038/16403
Mark Freidlin, Harry Pavlopoulos, On a Stochastic Model for Moisture Budget in an Eulerian Atmospheric Column Environmetrics. ,vol. 8, pp. 425- 440 ,(1997) , 10.1002/(SICI)1099-095X(199709/10)8:5<425::AID-ENV262>3.0.CO;2-7
John R. Michael, William R. Schucany, Roy W. Haas, Generating Random Variates Using Transformations with Multiple Roots The American Statistician. ,vol. 30, pp. 88- 90 ,(1976) , 10.1080/00031305.1976.10479147
G. B. Kallianpur, Stochastic differential equations and diffusion processes ,(1981)
Aniello Buonocore, Antonio Di Crescenzo, Elvira Di Nardo, Input–output behaviour of a model neuron with alternating drift Biosystems. ,vol. 67, pp. 27- 34 ,(2002) , 10.1016/S0303-2647(02)00060-6
W. Stadje, The exact probability distribution of a two-dimensional random walk Journal of Statistical Physics. ,vol. 46, pp. 207- 216 ,(1987) , 10.1007/BF01010341