Hitting straight lines by compound Poisson process paths

DOI10.1007/BF02481140MaRDI QIDQ806186zbMATH OpenOpenAlexFDO

Authors Wolfgang J. Bühler, Prem S. Puri, Hans-Jürgen Schuh

Publication date 1990

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02481140

zbMATH Keywords

compound Poisson processGalton-Watson branching processesintersection with linesLaplace transformprobability of extinction

Mathematics Subject Classification ID

Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Review text

Let (X(t), \(t\geq 0)\) be a compound Poisson process with intensity \(\lambda\) and jump size distribution function H. The authors consider the probability h(\(\beta\)) of intersection between X and arbitrary lines: \(h(\beta) = P(X(t) = \alpha t+\beta\) for some \(t>0)\) if \(\alpha\) is taken fixed. This work was inspired by \textit{C. L. Mallows} and \textit{V. N. Nair} [Ann. Inst. Stat. Math. 41, No.1, 1-8 (1989; Zbl 0692.60034)], who had considered the no intercept case \(\alpha =1\), \(\beta =0\) and who had obtained h(0) in a form which could be related by the present authors to the theory of Galton-Watson branching processes and their probability of extinction. Four different approaches are used in the paper: a probabilistic method to determine h(\(\beta\)) explicitly for \(\beta <0\) and for \(\alpha >1\), \(\beta >0\); a differential equation established for h(\(\beta\)); a Laplace transform \(\hat h\) of h and a random walk for a discrete time version of the problem which could be applied to the continuous case. The discrete time version gave the clue to a Galton- Watson process interpretation. Finally the intersection of the compound Poisson process with two (or even more) parallel lines is considered.

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Cites work

• scientific article; zbMATH DE number 3301915 (Why is no real title available?)
• scientific article; zbMATH DE number 3108056 (Why is no real title available?)
• On a zero-crossing probability
• On the number of crossings of empirical distribution functions

Cited in

(2)

• Intersections of an Interval By a Difference of a Compound Poisson Process and a Compound Renewal Process
• On a zero-crossing probability

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