First passage time of filtered Poisson process with exponential shape function

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dc.contributor.author Novikov, Alex en_US
dc.contributor.author Melchers, Rob en_US
dc.contributor.author Shinjikashvili, Eja en_US
dc.contributor.author Kordzakhia, Nino en_US
dc.date.accessioned 2009-12-21T02:28:01Z
dc.date.available 2009-12-21T02:28:01Z
dc.date.issued 2005 en_US
dc.identifier 2005000725 en_US
dc.identifier.citation Novikov Alex et al. 2005, 'First passage time of filtered Poisson process with exponential shape function', Elsevier Sci Ltd, vol. 20, no. 1, pp. 57-65. en_US
dc.identifier.issn 0266-8920 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/3424
dc.description.abstract Solving some integro-differential equation we find the Laplace transform 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 en_US
dc.publisher Elsevier Sci Ltd en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.probengmech.2004.04.005 en_US
dc.title First passage time of filtered Poisson process with exponential shape function en_US
dc.parent Probabilistic Engineering Mechanics en_US
dc.journal.volume 20 en_US
dc.journal.number 1 en_US
dc.publocation Oxford, England en_US
dc.identifier.startpage 57 en_US
dc.identifier.endpage 65 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.for 010400 en_US
dc.personcode 991062 en_US
dc.personcode 0000021579 en_US
dc.personcode 0000024520 en_US
dc.personcode 0000021157 en_US
dc.percentage 50 en_US
dc.classification.name Statistics en_US
dc.classification.type FOR-08 en_US
dc.custom 0.554 en_US
dc.description.keywords first passage times; laplace transform; martingales; integro-differential equations; filtered Poisson process; Omstein-Uhlenbeck process en_US


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