Search Results - "Abundo, Mario"

Integrated stationary Ornstein–Uhlenbeck process, and double integral processes by Abundo, Mario, Pirozzi, Enrica

“…We find a representation of the integral of the stationary Ornstein–Uhlenbeck (ISOU) process in terms of Brownian motion Bt; moreover, we show that, under…”
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The Randomized First-Hitting Problem of Continuously Time-Changed Brownian Motion by Abundo, Mario

“…LetX(t)be a continuously time-changed Brownian motion starting from a random positionη,S(t)a given continuous, increasing boundary, withS(0)≥0,P(η≥S(0))=1,and…”
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On the Estimation of the Persistence Exponent for a Fractionally Integrated Brownian Motion by Numerical Simulations by Abundo, Mario, Pirozzi, Enrica

“…For a fractionally integrated Brownian motion (FIBM) of order α∈(0,1],Xα(t), we investigate the decaying rate of P(τSα>t) as t→+∞, where τSα=inf{t>0:Xα(t)≥S}…”
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On the Integral of the Fractional Brownian Motion and Some Pseudo-Fractional Gaussian Processes by Abundo, Mario, Pirozzi, Enrica

“…We investigate the main statistical parameters of the integral over time of the fractional Brownian motion and of a kind of pseudo-fractional Gaussian process,…”
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On the Entropy of Fractionally Integrated Gauss–Markov Processes by Abundo, Mario, Pirozzi, Enrica

“…This paper is devoted to the estimation of the entropy of the dynamical system {Xα(t),t≥0}, where the stochastic process Xα(t) consists of the fractional…”
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The first-passage area of Ornstein-Uhlenbeck process revisited by Abundo, Mario

“…For Ornstein-Uhlenbeck process starting from we highlight some results about the first-passage time of X(t) through zero and its first-passage area, that is…”
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Asymptotic of the running maximum distribution of a Gaussian Bridge by Abundo, Mario

“…We study the tail behavior of the distribution of the running maximum of a zero mean Gaussian Bridge obtained from a continuous Gaussian process X(t) with by…”
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The First-Passage Area of Wiener Process with Stochastic Resetting by Abundo, Mario

“…For a one-dimensional Wiener process with stochastic resetting X ( t ) , obtained from an underlying Wiener process X ( t ),  we study the statistical…”
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On the first-passage times of certain Gaussian processes, and related asymptotics by Abundo, Mario

“…The first-passage time of a one-dimensional continuous stochastic process starting from through a smooth boundary S(t) is investigated; in particular,…”
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On the excursions of drifted Brownian motion and the successive passage times of Brownian motion by Abundo, Mario

“…By using the law of the excursions of Brownian motion with drift, we find the distribution of the nth passage time of Brownian motion through a straight line…”
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Fractionally integrated Gauss-Markov processes and applications by Abundo, Mario, Pirozzi, Enrica

“…•Covariance of the fractional integral of the Brownian motion.•Covariance of the fractional integral of a Ornstein--Uhlenbeck process.•Numerical evaluations of…”
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An inverse problem for the first-passage place of some diffusion processes with random starting point by Abundo, Mario

“…We study an inverse problem for the first-passage place of a one-dimensional diffusion process X(t) (also with jumps), starting from a random position Let be…”
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An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion by Abundo, Mario

“…We revisit an inverse first-passage time (IFPT) problem, in the cases of fractional Brownian motion, and time-changed Brownian motion. Let X(t) be a one…”
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Randomization of a linear boundary in the first-passage problem of Brownian motion by Abundo, Mario

“…We study an inverse first-passage-time problem for Brownian motion starting from a fixed point x. For let be a randomly perturbed straight line, where is a…”
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The mean of the running maximum of an integrated Gauss-Markov process and the connection with its first-passage time by Abundo, Mario

“…We find explicit formulae for the mean of the running maximum of conditional and unconditional Brownian motion; they are used to obtain the mean, a(t), of the…”
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The arctangent law for a certain random time related to one-dimensional diffusions by Abundo, Mario

“…For a time-homogenous one-dimensional diffusion process X(t), we investigate the distribution of the first instant, after a given time r, at which X(t) exceeds…”
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Joint Distribution of First-Passage Time and First-Passage Area of Certain Lévy Processes by Abundo, Mario, Furia, Sara

“…Let be X ( t ) = x − μ t + σ B t − N t a Lévy process starting from x > 0, where μ ≥ 0, σ ≥ 0, B t is a standard BM, and N t is a homogeneous Poisson process…”
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One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem by Abundo, Mario

“…We study an inverse first-hitting problem for a one-dimensional, time-homogeneous diffusion X(t) reflected between two boundaries a and b, which starts from a…”
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An inverse first-passage problem for one-dimensional diffusions with random starting point by Abundo, Mario

“…We consider an inverse first-passage time (FPT) problem for a homogeneous one-dimensional diffusion X ( t ) , starting from a random position η . Let S ( t )…”
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A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary by Abundo, Mario

“…We study an inverse first-passage-time problem for Wiener process X(t) subject to hold and jump from a boundary c. Let be given a threshold S > X(0) ≥ c, and a…”
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