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A Two-Sided Exit Problem for a Difference of a Compound Poisson Process and a Compound Renewal Process with a Discrete Phase Space.
- Source :
-
Stochastic Models . Jan-Mar2008, Vol. 24 Issue 1, p152-172. 21p. - Publication Year :
- 2008
-
Abstract
- A two-sided exit problem is solved for a difference of a compound Poisson process and a compound renewal process. The Laplace transforms of the joint distribution of the first exit time, the value of the overshoot, and the value of a linear component at this instant are determined. The results obtained are applied to solve the two-sided exit problem for a particular case of this process, namely, the difference of the compound Poisson process and the renewal process whose jumps are geometrically distributed. The advantage is that these results are in a closed form, in terms of resolvent sequences of the process. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 15326349
- Volume :
- 24
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Stochastic Models
- Publication Type :
- Academic Journal
- Accession number :
- 28791030
- Full Text :
- https://doi.org/10.1080/15326340701828340