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arXiv · 2101.11578

Simulation of first-passage times for alternating Brownian motions

A. Di Crescenzo·E. Di Nardo·L. M. Ricciardi
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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.

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A. Di Crescenzo, E. Di Nardo, L. M. Ricciardi. 2021-01-27. Simulation of first-passage times for alternating Brownian motions. https://doi.org/10.1007/s11009-005-1481-3

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