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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/25302

Title

First passage time of filtered Poisson process with exponential shape function

Author/Creator

Novikov, A.;  Melchers, Robert E.;  Shinjikashvili, E.;  Kordzakhia, N.

Description

Solving some integro-differential equation we find the Laplace transform of the first passage time for filtered Poisson process generated by pulses with uniform or exponential distributions. Also, the martingale technique is applied for approximations of expectations and distributions of the first passage times. The approximations accuracy is verified with the help of Monte-Carlo simulations.

Relation

Probabilistic Engineering Mechanics Vol. 20, no. 1, p. 57-65

Date

2005

Publisher

Computational Mechanics Publications

Keyword(s)

first passage times;  laplace transform;  martingales;  integro-differential equations;  filtered Poisson process;  Omstein-Uhlenbeck process;  gaussian random-walks

Resource Type

journal article

Identifier

http://hdl.handle.net/1959.13/25302

Identifier

ISSN:0266-8920

Language

eng

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Subject

"Probabilistic Engineering Mechanics"

 

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