Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries (Q1763436): Difference between revisions
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Revision as of 00:01, 20 March 2024
scientific article
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| English | Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries |
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Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries (English)
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22 February 2005
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The paper reviews recent results on exact distributions of stopping times for compound Poisson processes and linear upper and lower boundaries. The approach is based on a sample path analysis and renewal arguments. The two cases of discrete and absolutely continuous jump sizes are treated separately. Explicit formulas are given. The results have applications in sequential analysis, queueing and inventory theory, risk theory in insurance and finance, and related fields.
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