Upper first-exit times of compound poisson processes revisited

DC FieldValueLanguage
dc.contributor.authorStadje, W
dc.contributor.authorZacks, S
dc.date.accessioned2021-12-23T16:13:59Z-
dc.date.available2021-12-23T16:13:59Z-
dc.date.issued2003
dc.identifier.issn02699648
dc.identifier.urihttps://osnascholar.ub.uni-osnabrueck.de/handle/unios/10853-
dc.description.abstractFor a compound Poisson process (CPP) with only positive jumps, an elegant formula connects the density of the hitting time for a lower straight line with that of the process itself at time t, h (x; t), considered as a function of time and position jointly. We prove an analogous (albeit more complicated) result for the first time the CPP crosses an upper straight line. We also consider the conditional density of the CPP at time t, given that the upper line has not been reached before t. Finally, it is shown how to compute certain moment integrals of h.
dc.language.isoen
dc.publisherCAMBRIDGE UNIV PRESS
dc.relation.ispartofPROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES
dc.subjectEngineering
dc.subjectEngineering, Industrial
dc.subjectM/G/1
dc.subjectMathematics
dc.subjectOperations Research & Management Science
dc.subjectStatistics & Probability
dc.titleUpper first-exit times of compound poisson processes revisited
dc.typejournal article
dc.identifier.doi10.1017/S0269964803174025
dc.identifier.isiISI:000187392200002
dc.description.volume17
dc.description.issue4
dc.description.startpage459
dc.description.endpage465
dc.identifier.eissn14698951
dc.publisher.place32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA
dcterms.isPartOf.abbreviationProbab. Eng. Inform. Sci.
crisitem.author.deptFB 06 - Mathematik/Informatik-
crisitem.author.deptidfb06-
crisitem.author.parentorgUniversität Osnabrück-
crisitem.author.netidStWo325-
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