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 | Enthalten in: | PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | Band: | 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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geprüft am 07.06.2024
