First Exit Times of Compound Poisson Processes with Parallel Boundaries

DOI10.1080/07474946.2012.665673MaRDI QIDQ2888568zbMATH OpenOpenAlexFDO

Authors Yifan Xu

Publication date 1 June 2012

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2012.665673

zbMATH Keywords

compound Poisson processlinear boundariesparallel boundariesstopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites work

• A two-sided first-exit problem for a compound Poisson process with a random upper boundary
• Distributions of stopping times for poisson processes with linear boundaries
• HITTING AND RUIN PROBABILITIES FOR COMPOUND POISSON PROCESSES AND THE CYCLE MAXIMUM OF THE M/G/1 QUEUE
• scientific article; zbMATH DE number 3292535 (Why is no real title available?)
• Review of some functionals of compound Poisson processes and related stopping times
• Stage‐Wise Adaptive Designs
• UPPER FIRST-EXIT TIMES OF COMPOUND POISSON PROCESSES REVISITED

Cited in

(12)

• Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries
• Contributions to the theory of first-exit times of some compound processes in queueing theory
• Two-sided exit problems in the ordered risk model
• First exit times for ordinary and compound Poisson processes with nonlinear boundaries
• A two-sided first-exit problem for a compound Poisson process with a random upper boundary
• Population processes sampled at random times
• Number of jumps in two-sided first-exit problems for a compound Poisson process
• Boundary crossing of order statistics point processes
• Distributions of stopping times for compound poisson processes with positive jumps and linear boundaries
• First-exit times for compound poisson processes for some types of positive and negative jumps
• The first rendezvous time of Brownian motion and compound Poisson-type processes
• Exact calculation of the distributions of the stopping times of two types of truncated SPRT for the mean of the exponential distribution

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