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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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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