Time of exit of a semicontinuous process with boundary (Q1097594): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
ReferenceBot (talk | contribs) Changed an Item |
||
(One intermediate revision by one other user not shown) | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3658854 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3321197 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Strong Renewal Theorems with Infinite Mean / rank | |||
Normal rank |
Revision as of 15:27, 18 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Time of exit of a semicontinuous process with boundary |
scientific article |
Statements
Time of exit of a semicontinuous process with boundary (English)
0 references
1986
0 references
Let \((\xi (t))_{t\geq 0}\) be a homogeneous process with independent increments and positive jumps, the paths of which are right continuous. Loosely speaking, it is possible to define on the phase space [0,\(\infty)\) a homogeneous Markov process \((x(t))_{t\geq 0}\) as follows: Up to the moment the \(\xi\)-process reaches the null level, the increments of both processes coincide. Then the x-process remains in this state a positive time \(\tau_{0+}\) with a parameter 1/\(\mu\), and at a (random) moment \(\tau_{0+}\) leaves it, having a positive increment \(\xi\) (distributed according to a given function F) which does not depend on the previous history of the process. The aim of the paper is to study the limit of the repartition of the random variable \(\tau_ T=\inf \{t:x(t)\geq T\}\) as \(t\to \infty\).
0 references
homogeneous process with independent increments
0 references
positive jumps
0 references
limit of the repartition
0 references