On the upper first-exit times of compound G/M processes

Autor(en): Stadje, W 
Zacks, S
Stichwörter: Engineering; Engineering, Industrial; Mathematics; Operations Research & Management Science; POISSON PROCESSES; Statistics & Probability
Erscheinungsdatum: 2005
Herausgeber: CAMBRIDGE UNIV PRESS
Journal: PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES
Volumen: 19
Ausgabe: 3
Startseite: 397
Seitenende: 403
Zusammenfassung: 
For a compound process with exponential jumps at renewal times, we determine, in closed form, the density of the first time an upper linear boundary is crossed. It is shown how simple formulas for the Laplace transform and the first two moments can be directly derived from this density.
ISSN: 02699648
DOI: 10.1017/S0269964805050230

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