Sample path analysis and distributions of boundary crossing times (Q2406458)

``This monograph is focused on the derivations of exact distributions of first boundary crossing times of Poisson processes, compound Poisson processes, and more general renewal processes. The content is limited to the distributions of first boundary crossing times and their applications to various stochastic models. This book provides the theory and techniques for exact computations of distributions and moments of level crossing times. In addition, these techniques could replace simulations in many cases, thus providing more insight about the phenomena studied. This book takes a general approach for studying telegraph processes and is based on nearly thirty published papers by the author and collaborators over the past twenty five years. No prior knowledge of advanced probability is required, making the book widely available to students and researchers in applied probability, operations research, applied physics, and applied mathematics.'' Having reviewed some generalities on (compound) Poisson processes, Brownian motion and Lévy processes, the author analyzes first crossings by Poisson processes in Chapter 3. Chapter 4 is devoted to compound Poisson processes and Chapter 5 to telegraph processes. In Chapter 6, the author tackles questions dealing with sequential estimation of the mean of an exponential distribution and of the log-odds in Bernoulli trials. The short seventh chapter deals with the problem of first hitting times between Brownian motion and a compound Poisson process. The last two chapters contain an analysis of failure times of deterioration processes and miscellaneous topics. A nice appendix on R-algorithms rounds out this monograph.