Simulation of first-passage times for alternating Brownian motions

DOI10.1007/S11009-005-1481-3MaRDI QIDQ812973zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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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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