Simulation of First-Passage Times for Alternating Brownian Motions

A. Crescenzo (), E. Nardo () and L. M. Ricciardi ()
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A. Crescenzo: Università di Salerno
E. Nardo: Università degli Studi della Basilicata
L. M. Ricciardi: Università di Napoli Federico II

Methodology and Computing in Applied Probability, 2005, vol. 7, issue 2, 161-181

Abstract: 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: Brownian motion; alternating infinitesimal moments; renewal process; first-passage time; simulation (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11009-005-1481-3

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