First Passage Time of Filtered Poisson Process with Exponential Shape Function

Solving some integro-differential equation we find the Laplace transformation of the first passage time for Filtered Poisson Process generated by pulses with uniform or exponential distributions. Also, the martingale technique is applied for approximations of expectations accuracy is veryfying with the help of Monte-Carlo simulations.

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Year of publication:	2003-10-01
Authors:	Novikov, Alexander ; Melchers, R. E. ; Shinjikashvili, E. ; Kordzakhia, N.
Institutions:	Finance Discipline Group, Business School
Subject:	first passage times \| laplace transformation \| martingales \| integro-differential equations \| filtered poisson process \| ornstein-uhlenbeck process

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 109
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005102343