A Two-Sided Exit Problem for a Difference of a Compound Poisson Process and a Compound Renewal Process with a Discrete Phase Space
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Publication:5454675
DOI10.1080/15326340701828340zbMath1143.60033MaRDI QIDQ5454675
Victor Kadankov, Tetyana Kadankova
Publication date: 31 March 2008
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326340701828340
60G40: Stopping times; optimal stopping problems; gambling theory
60K20: Applications of Markov renewal processes (reliability, queueing networks, etc.)
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Cites Work
- Semi-Markov walk on the composition of two renewal processes
- Boundary crossing for the difference of two ordinary or compound Poisson processes
- Two-boundary problems for a Poisson process with exponentially distributed component
- First-exit times for compound poisson processes for some types of positive and negative jumps
- Two-boundary problems for semi-Markov walk with a linear drift
- On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks
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