Exit problems for the difference of a compound Poisson process and a compound renewal process

DOI10.1007/S11134-008-9084-7zbMath1162.90397arXiv1101.5279OpenAlexW2028084110MaRDI QIDQ1025609

Victor Kadankov, Tetyana Kadankova

Publication date: 19 June 2009

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.5279

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items (1)

Busy period, virtual waiting time and number of customers in \(G^{\delta }|M^{\kappa}|1| \text B\) system

Cites Work

• Semi-Markov walk on the composition of two renewal processes
• On limit theorems for the first exit time from a strip for stochastic processes. I
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Overshoots and undershoots of Lévy processes
• Queues with Delays in Two-State Strategies and Lévy Input
• Two-boundary problems for a random walk
• First-exit times for compound poisson processes for some types of positive and negative jumps
• Two-boundary problems for semi-Markov walk with a linear drift
• A Two-Sided Exit Problem for a Difference of a Compound Poisson Process and a Compound Renewal Process with a Discrete Phase Space
• On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks
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