{
  "id": "2101.11578",
  "version": "v1",
  "published": "2021-01-27T18:09:15.000Z",
  "updated": "2021-01-27T18:09:15.000Z",
  "title": "Simulation of first-passage times for alternating Brownian motions",
  "authors": [
    "A. Di Crescenzo",
    "E. Di Nardo",
    "L. M. Ricciardi"
  ],
  "journal": "Meth. Comp. In Applied Probab. (2005) 7, 161--181",
  "doi": "10.1007/s11009-005-1481-3",
  "categories": [
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2021-01-27T18:09:15.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "alternating brownian motions",
      "first-passage times",
      "first-passage-time density",
      "estimate first-passage-time densities",
      "constant boundary"
    ],
    "tags": [
      "journal article"
    ],
    "publication": {
      "publisher": "Springer"
    },
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}