A. Di Crescenzo, E. Di Nardo, L. M. Ricciardi
Published 2021-01-27Version 1
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.
Journal: Meth. Comp. In Applied Probab. (2005) 7, 161--181
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