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Simulation of First-Passage Times for Alternating Brownian Motions
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Journal Article
Simulation of First-Passage Times for Alternating Brownian Motions
2005
Overview
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. [PUBLICATION ABSTRACT]
Publisher
Springer Nature B.V
Subject
