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When the “Bull” Meets the “Bear”—A First Passage Time Problem for a Hidden Markov Process

✍ Scribed by Xin Guo


Book ID
110309333
Publisher
Springer US
Year
2001
Tongue
English
Weight
210 KB
Volume
3
Category
Article
ISSN
1387-5841

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Moments of the first-passage time for a
✍ B. Sahay; W. Lennox 📂 Article 📅 1974 🏛 Elsevier Science 🌐 English ⚖ 342 KB

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