First passage time of filtered Poisson process with exponential shape function

Probabilistic Engineering Mechanics

Volumn 20, Issue 1, 2005, Pages 57-65

  Novikov, A ^a   Melchers, R E ^b   Shinjikashvili, E ^a   Kordzakhia, N ^c  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b UNIVERSITY OF NEWCASTLE   (Australia)

^c Quantit Analysis Risk Management   (Australia)

Author keywords

Filtered Poisson process; First passage times; Integro differential equations; Laplace transform; Martingales; Ornstein Uhlenbeck process

Indexed keywords

FUNCTIONS; INTEGRODIFFERENTIAL EQUATIONS; LAPLACE TRANSFORMS; MATHEMATICAL MODELS; MONTE CARLO METHODS; RANDOM PROCESSES;

FILTERED POISSON PROCESS; FIRST PASSAGE TIMES; MARTINGALES; ORNSTEIN-UHLENBECK PROCESS;

POISSON DISTRIBUTION;

EID: 10844230917     PISSN: 02668920     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.probengmech.2004.04.005     Document Type: Article

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