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Some Remarks on First-Passage Times for Integrated Gauss-Markov Processes

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Computer Aided Systems Theory – EUROCAST 2015 (EUROCAST 2015)

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Abstract

It is considered the integrated process \(X(t)= x + \int _0^t Y(s) ds ,\) where Y(t) is a Gauss-Markov process starting from y. The first-passage time (FPT) of X through a constant boundary and the first-exit time of X from an interval (a, b) are investigated, generalizing some results on FPT of integrated Brownian motion.

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Authors and Affiliations

  1. Tor Vergata University, Rome, Italy

    Marco Abundo & Mario Abundo

Authors
  1. Marco Abundo
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  2. Mario Abundo
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Correspondence to Mario Abundo .

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Editors and Affiliations

  1. de Gran Canaria, Universidad de las Palmas de Gran Canari, Las Palmas de Gran Canaria, Spain

    Roberto Moreno-Díaz

  2. Johannes Kepler University Linz, Linz, Austria

    Franz Pichler

  3. de Gran Canaria, Universidad de las Palmas de Gran Canari, Las Palmas de Gran Canaria, Spain

    Alexis Quesada-Arencibia

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Abundo, M., Abundo, M. (2015). Some Remarks on First-Passage Times for Integrated Gauss-Markov Processes. In: Moreno-Díaz, R., Pichler, F., Quesada-Arencibia, A. (eds) Computer Aided Systems Theory – EUROCAST 2015. EUROCAST 2015. Lecture Notes in Computer Science(), vol 9520. Springer, Cham. https://doi.org/10.1007/978-3-319-27340-2_18

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  • DOI: https://doi.org/10.1007/978-3-319-27340-2_18

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-27339-6

  • Online ISBN: 978-3-319-27340-2

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