First Passage Time of Filtered Poisson Process with Exponential Shape Function

Alexander Novikov, R. E. Melchers, E. Shinjikashvili and N. Kordzakhia

No 109, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: Solving some integro-differential equation we find the Laplace transformation 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 accuracy is veryfying with the help of Monte-Carlo simulations.

Keywords: first passage times; laplace transformation; martingales; integro-differential equations; filtered poisson process; ornstein-uhlenbeck process (search for similar items in EconPapers)
Pages: 19 pages
Date: 2003-10-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published as: Novikov, A., Melchers, R. E., Shinjikashvili, E. and Kordzakhia, N., 2006, "First Passage Time of Filtered Poisson Process with Exponential Shape Function", Probabilistic Engineering Mechanics, 20(1), 57-66.

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