๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Moments of the first-passage time for a narrow-band process

โœ Scribed by B. Sahay; W. Lennox

Publisher
Elsevier Science
Year
1974
Tongue
English
Weight
342 KB
Volume
32
Category
Article
ISSN
0022-460X

No coin nor oath required. For personal study only.

โœฆ Synopsis

The moments of the first-passage time of a narrow-band stochastic process produced by a linear oscillator excited by wide-band noise are presented for the case of a "safe" region defined by a circular barrier in the phase plane. As long as damping is small the moments produced will be approximately the same as those for the two-sided barrier problem. An iterative set of partial differential equations governing the moments, the first being the Pontriagin-Vitt equation for the mean first-passage time, are solved by using a Galerkin approximation. No restrictions are required on the barrier size.

๐Ÿ“œ SIMILAR VOLUMES

On first passage times of a hyper-expone
On first passage times of a hyper-exponential jump diffusion process
โœ Ning Cai ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 621 KB

We investigate some important probabilistic properties relating to the first passage time of a hyperexponential jump diffusion process, including its finiteness, expectation, conditional memorylessness, and conditional independence. Moreover, the joint distribution of the first passage time and the