Solving some integro-differential equation we find the Laplace transformation 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 accuracy is veryfying with the help of Monte-Carlo simulations.first passage times; laplace transformation; martingales; integro-differential equations; filtered poisson process; ornstein-uhlenbeck process
A first-passage problem for a cumulative process is investigated. The cumulative process is assumed ...
We consider the process {V (t) : t ≥ 0} defined by V (t) = v0eX(t) (for all t ≥ 0), where v0 > 0 an...
We study the relationship between two classical approaches for quantitative ergodic properties : the...
Solving some integro-differential equation we find the Laplace transform of the first passage time f...
AbstractIn this paper we study the two-dimensional joint distribution of the first passage time of a...
The first-passage problem of the Ornstein–Uhlenbeck process to a boundary is a long-standing problem...
Let {D(s), s ≥ 0} be a non-decreasing Lévy process. The first-hitting time process {E(t), t ≥ 0} (wh...
AbstractWe consider a storage process with finite or infinite capacity having a compound Poisson pro...
AbstractA first-passage problem for a cumulative process is investigated. The cumulative process is ...
AbstractLet X=(Xt)t≥0 be a Lévy process with absolutely continuous Lévy measure ν. Small-time expans...
We introduce a unified framework for solving first passage times of time- homogeneous diffusion proc...
AbstractWe determine the ultimate ruin probability and the Laplace transform of the distribution of ...
Alili LarbiNovikov AlexanderSchweizer MartinYor MarcFrom both theoretical and applied perspectives, ...
Let J1> J2> ⋯ be the ranked jumps of a gamma process τα on the time interval [0 , α] , such that τα=...
AbstractWe give a description of the model U0=0, Un=Xn(Yn+Un−1) for n⩾1, in the case where the Xi ar...
A first-passage problem for a cumulative process is investigated. The cumulative process is assumed ...
We consider the process {V (t) : t ≥ 0} defined by V (t) = v0eX(t) (for all t ≥ 0), where v0 > 0 an...
We study the relationship between two classical approaches for quantitative ergodic properties : the...
Solving some integro-differential equation we find the Laplace transform of the first passage time f...
AbstractIn this paper we study the two-dimensional joint distribution of the first passage time of a...
The first-passage problem of the Ornstein–Uhlenbeck process to a boundary is a long-standing problem...
Let {D(s), s ≥ 0} be a non-decreasing Lévy process. The first-hitting time process {E(t), t ≥ 0} (wh...
AbstractWe consider a storage process with finite or infinite capacity having a compound Poisson pro...
AbstractA first-passage problem for a cumulative process is investigated. The cumulative process is ...
AbstractLet X=(Xt)t≥0 be a Lévy process with absolutely continuous Lévy measure ν. Small-time expans...
We introduce a unified framework for solving first passage times of time- homogeneous diffusion proc...
AbstractWe determine the ultimate ruin probability and the Laplace transform of the distribution of ...
Alili LarbiNovikov AlexanderSchweizer MartinYor MarcFrom both theoretical and applied perspectives, ...
Let J1> J2> ⋯ be the ranked jumps of a gamma process τα on the time interval [0 , α] , such that τα=...
AbstractWe give a description of the model U0=0, Un=Xn(Yn+Un−1) for n⩾1, in the case where the Xi ar...
A first-passage problem for a cumulative process is investigated. The cumulative process is assumed ...
We consider the process {V (t) : t ≥ 0} defined by V (t) = v0eX(t) (for all t ≥ 0), where v0 > 0 an...
We study the relationship between two classical approaches for quantitative ergodic properties : the...
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