First passage time of filtered Poisson process with exponential shape function

Alexander Novikov; Robert Melchers; Eka Shinjikashvili; Nino Kordzakhia

doi:10.1016/j.probengmech.2004.04.005

First passage time of filtered Poisson process with exponential shape function

Probabilistic Engineering Mechanics 20(1): 57-65

Article 2004 English

Abstract

1 min read

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 expectations and distributions of the first passage times. The approximations accuracy is verified with the help of Monte-Carlo simulations.

Discussion(0)

No comments yet. Be the first to comment.

Related publications

Preprint2003

First Passage Time of Filtered Poisson Process with Exponential Shape Function

Alexander Novikov, Robert Melchers, Eka Shinjikashvili, Nino Kordzakhia

Article2003

First Passage Time of Filtered Poisson Process with Exponential Shape Function

Alexander Novikov, Robert Melchers, Eka Shinjikashvili, Nino Kordzakhia

Article2003

First Passage Time of Filtered Poisson Process with Exponential Shape Function

Alexander Novikov, Robert Melchers, Eka Shinjikashvili, Nino Kordzakhia

Research paper series

Preprint2003

First Passage Time of Filtered Poisson Process with Exponential Shape Function

Alexander Novikov, Robert Melchers, Eka Shinjikashvili, Nino Kordzakhia

RePEc: Research Papers in Economics

Article2018

A modified two dimensional analytical model for short-channel fully depleted SOI MESFET's

Hossein Mohammadi, Huda Abdullah, Chang Fu Dee, P. Susthitha Menon

Microelectronics Reliability