First excess levels of vector processes

DOI10.1155/S1048953394000365MaRDI QIDQ1344660zbMATH OpenFDO

Authors Jewgeni H. Dshalalow

Publication date 14 May 1995

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/47149

zbMATH Keywords

first excess levelfirst-passage timefluctuationsstochastic modelstermination index

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Markov renewal processes, semi-Markov processes (60K15) Queueing theory (aspects of probability theory) (60K25)

Review text

Summary: This paper analyzes the behavior of a point process marked by a two- dimensional renewal process with dependent components about some fixed (two-dimensional) level. The compound process evolves until one of its marks hits (i.e. reaches or exceeds) its associated level for the first time. The author targets a joint transformation of the first excess level, first passage time, and the index of the point process which labels the first passage time. The cases when both marks are either discrete or continuous or mixed are treated. For each of them, an explicit and compact formula is derived. Various applications to stochastic models are discussed.

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