Simulation of first-passage times for alternating Brownian motions

DOI10.1007/S11009-005-1481-3zbMATH Open1086.60053arXiv2101.11578OpenAlexW1972535858MaRDI QIDQ812973FDOQ812973

Authors: Antonio Di Crescenzo, E. Di Nardo, L. M. Ricciardi 

Publication date: 30 January 2006

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2101.11578

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zbMATH Keywords

Renewal processAlternating infinitesimal moments

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (9)

• First passage time moments of jump-diffusions with Markovian switching
• First passage density of Brownian motion with two-sided piecewise linear boundaries
• Probabilistic evolution analysis and first passage analysis of a class of stochastic dynamic systems with fractional derivative based on complex fractional moment method
• Discretely observed Brownian motion governed by telegraph process: estimation
• The density of a passage time for a renewal-reward process perturbed by a diffusion
• \(\mathrm{M}/\mathrm{M}/1\) queue in two alternating environments and its heavy traffic approximation
• First passage time for multivariate jump-diffusion processes in finance and other areas of applications
• Simulation of Brownian motion at first-passage times
• Probability law and flow function of Brownian motion driven by a generalized telegraph process

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