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First passage time statistics for some stochastic processes with superimposed shot noise

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  • Masoliver, Jaume
  • Weiss, George H.

Abstract

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 also be solved in some generality.

Suggested Citation

  • Masoliver, Jaume & Weiss, George H., 1988. "First passage time statistics for some stochastic processes with superimposed shot noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 149(3), pages 395-405.
  • Handle: RePEc:eee:phsmap:v:149:y:1988:i:3:p:395-405
    DOI: 10.1016/0378-4371(88)90112-4
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    Cited by:

    1. Jaume Masoliver & Miquel Montero & Josep Perelló, 2021. "Jump-Diffusion Models for Valuing the Future: Discounting under Extreme Situations," Mathematics, MDPI, vol. 9(14), pages 1-26, July.

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