A two-sided first-exit problem for a compound Poisson process with a random upper boundary (Q2487759)
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English | A two-sided first-exit problem for a compound Poisson process with a random upper boundary |
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A two-sided first-exit problem for a compound Poisson process with a random upper boundary (English)
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8 August 2005
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The first-exit time of a compound Poisson process from a random region is considered. This region is bounded from below by a deterministic straight line of slope one and from above by the graph of a realisation of another compound Poisson process with linear drift. It is shown that the Laplace-Stieltjes transform of the first-exit time satisfies an integral equation. In the case of compound Poisson processes with i.i.d. exponential jumps, this equation can be simplified and yields lower and upper bounds for the Laplace-Stieltjes transform of the first-exit time. The results admit interpretations in terms of queueing and risk theory.
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linear boundary
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random boundary
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first-exit time
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Laplace-Stieltjes transform
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integral equation
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workload capacity
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busy period
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risk process
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ruin time
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