A note on extremes of compound Poisson processes

MaRDI QIDQ3563043zbMATH OpenFDO

Authors Daniel Berend, Michael Braverman, Ilya Goldstein

Publication date 28 May 2010

Full work available at URL http://www.math.uni.wroc.pl/~pms/publications.php?nr=29.2

zbMATH Keywords

Poisson processesextremescompound Poisson processestails

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stationary stochastic processes (60G10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cited in

(6)

• Suprema of compound Poisson processes with light tails.
• A class of generalized compound Poisson processes
• Exact asymptotics for the distribution of the time of attaining the maximum for a trajectory of a compound Poisson process with linear drift
• On extrema of integer-valued processes, defined by sums of a random number of addenda
• Compound Poisson approximation for the distribution of extremes
• Compound Poisson limit theorems for high-level exceedances of some non-stationary processes

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