First exit times for compound Poisson dams with a general release rule (Q2466775)

The author consider a dam of infinite capacity. Water flows in according to a compound Poisson process \(\{ A(t)\), t\( \geq 0\}\) and is released at a rate \(r(x)\) depending on the current level \(x\) of water in the dam. The compound Poisson input process \(A(t)\) can be expressed by \(A(t) = \sum_{n=1}^{N(t)} S_n,\) where \(\{N(t)\), \(t \geq 0\}\) is a Poisson process with intensity \(\lambda\) and \(S_1, S_2,\dots\) are identically and independently distributed random variables having a common distribution \(G\) with \(G(0) =0\) and mean \(1/m,\) \(S_n\) are independent of the process \(\{N(t)\), \(t \geq 0\}.\) Let \(X(t)\) be the level of water at time \(t.\) Its sample path satisfies the following storage equation \(X(t) =x + A(t) - \int_0^t r(x(s))\,ds,\) \(t \geq 0\), where \(X(0) =x\) is the initial level in the dam, \(r(0) =0\) and \(r(\cdot)\) is strictly positive and for any \(0< x< \infty\), \(\int_0^x {1\over r(y)}\,dy < \infty.\) The author obtains the Laplace transforms of the first exit times for an infinite dam. He applies these results to the specific case of a constant release rate with exponential jumps and provide an explicit expression for the Laplace transform of the length of the wet period for a finite dam.