On hitting times for compound Poisson dams with exponential jumps and linear release rate

DC FieldValueLanguage
dc.contributor.authorKella, O
dc.contributor.authorStadje, W
dc.date.accessioned2021-12-23T16:07:01Z-
dc.date.available2021-12-23T16:07:01Z-
dc.date.issued2001
dc.identifier.issn00219002
dc.identifier.urihttps://osnascholar.ub.uni-osnabrueck.de/handle/unios/7668-
dc.description.abstractFor a compound Poisson dam with exponential jumps and linear release rate (shot-noise process), we compute the Laplace-Stieltjes transform (LST) and the mean of the hitting time of some positive level given that the process starts from some given positive level. The solution for the LST is in terms of confluent hypergeometric functions of the first and second kinds (Kummer functions).
dc.language.isoen
dc.publisherAPPLIED PROBABILITY TRUST
dc.relation.ispartofJOURNAL OF APPLIED PROBABILITY
dc.subjectconfluent hypergeometric functions
dc.subjectdam with linear release rates
dc.subjecthitting times
dc.subjectMarkov process
dc.subjectMathematics
dc.subjectshot-noise process
dc.subjectStatistics & Probability
dc.titleOn hitting times for compound Poisson dams with exponential jumps and linear release rate
dc.typejournal article
dc.identifier.doi10.1017/S0021900200018945
dc.identifier.isiISI:000172254500017
dc.description.volume38
dc.description.issue3
dc.description.startpage781
dc.description.endpage786
dc.publisher.placeTHE UNIVERSITY, SCHOOL MATHEMATICS STATISTICS, SHEFFIELD S3 7RH, ENGLAND
dcterms.isPartOf.abbreviationJ. Appl. Probab.
crisitem.author.deptFB 06 - Mathematik/Informatik-
crisitem.author.deptidfb06-
crisitem.author.parentorgUniversität Osnabrück-
crisitem.author.netidStWo325-
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