We present a method for finding statistical properties of the first passage time to exit an interval of general diffusion processes subject to random delta function impulses. Exact solutions are found for the mean first passage time for Brownian motion. Other special cases, detailed in the text, can
Some first passage time problems for shot noise processes
β Scribed by Jaume Masoliver; George H. Weiss
- Publisher
- Springer
- Year
- 1988
- Tongue
- English
- Weight
- 276 KB
- Volume
- 50
- Category
- Article
- ISSN
- 0022-4715
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Solving the first-passage-time problem for one-dimensional stochastic diffusion processes is a task with many applications in biomedical research. It has been noted (Musila and L&nsky, Int. /. Biomed. Cornput. 31,233-245,1992) that the first-passage time is overestimated if computed as the time when
## Abstract We study the limiting behaviour of suitably normalized union shotβnoise processes magnified image, where __F__ is a setβvalued function on R^__d__^ Γ β³οΈ is a sequence of i.i.d. random elements on some measurable space [β³οΈ π] and Ξ¨ = {x~i~, iβ₯ 1} stands for a stationary __d__βdimensional