First Crossing Times of Telegraph Processes with Jumps

Nikita Ratanov ()

Methodology and Computing in Applied Probability, 2020, vol. 22, issue 1, 349-370

Abstract: Abstract The paper presents exact formulae related to the distribution of the first passage time τx of the jump-telegraph process. In particular, the Laplace transform of τx is analysed, when a jump component is in the opposite direction to the crossing level x > 0. The case of double exponential jumps is also studied in detail.

Keywords: Jump-telegraph process; First passage time; Laplace transformation; Double exponential distribution; 60J75; 60J27; 60K99 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-019-09709-5

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