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

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.
Year of publication:
1988
Authors: Masoliver, Jaume ; Weiss, George H.
Published in:
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 149.1988, 3, p. 395-405
Publisher: Elsevier
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10010872921
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