On the first-passage time of an integrated Gauss-Markov process

MaRDI QIDQ2971308zbMATH OpenFDO

Authors Mario Abundo

Publication date 4 April 2017

Full work available at URL https://arxiv.org/abs/1506.01155

zbMATH Keywords

diffusionfirst-passage timeGauss-Markov process

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Abstract: It is considered the integrated process $X(t)=x+in{t}_0^{t}Y(s)ds,$ where $Y(t)$ is a Gauss-Markov process starting from $y.$ The first-passage time (FPT) of $X$ through a constant boundary and the first-exit time of $X$ from an interval $(a,b)$ are investigated, generalizing some results on FPT of integrated Brownian motion. An essential role is played by a useful representation of $X,$ in terms of Brownian motion which allows to reduces the FPT of $X$ to that of a time-changed Brownian motion. Some explicit examples are reported; when theoretical calculation is not available, the quantities of interest are estimated by numerical computation.

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Cited in

(6)

• The mean of the running maximum of an integrated Gauss-Markov process and the connection with its first-passage time
• On the representation of an integrated Gauss-Markov process
• First-passage time of a stochastic integral process through a linear boundary
• A first-passage-place problem for integrated diffusion processes
• First‐passage densities of controlled Gaussian processes
• Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion)

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