First and last passage times of spectrally positive Lévy processes with application to reliability

DOI10.1007/S11009-013-9360-9zbMath1319.60099arXiv1201.1199OpenAlexW2028459809MaRDI QIDQ2516387

Christian Paroissin, Landy Rabehasaina

Publication date: 31 July 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.1199

zbMATH Keywords

reliabilityLévy processesBrownian motion with driftscale functioncompound Poisson processgamma processfirst-passage timelast-passage time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (7)

Predicting the last zero before an exponential time of a spectrally negative Lévy process ⋮ \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ Bridging the first and last passage times for Lévy models ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ On the Distribution of the Last Exit Time over a Slowly Growing Linear Boundary for a Gaussian Process ⋮ Extension of the parametric delta method with an application to an inference method for a degradation model ⋮ A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process

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