First passage time statistics for some stochastic processes with superimposed shot noise

Jaume Masoliver and George H. Weiss

Physica A: Statistical Mechanics and its Applications, 1988, vol. 149, issue 3, 395-405

Abstract: We present a method for finding statistical properties of the first passage time to exit an interval of general diffusion processes subject to random delta function impulses. Exact solutions are found for the mean first passage time for Brownian motion. Other special cases, detailed in the text, can also be solved in some generality.

Date: 1988
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:149:y:1988:i:3:p:395-405

DOI: 10.1016/0378-4371(88)90112-4

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