First Exit Times of Compound Poisson Processes with Parallel Boundaries

DOI10.1080/07474946.2012.665673zbMath1255.60070MaRDI QIDQ2888568

Yi-Fan Xu

Publication date: 1 June 2012

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2012.665673

zbMATH Keywords

stopping time; compound Poisson process; linear boundaries; parallel boundaries

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

62L15: Optimal stopping in statistics

Related Items

Population processes sampled at random times, Number of jumps in two-sided first-exit problems for a compound Poisson process, Boundary crossing of order statistics point processes, Exact calculation of the distributions of the stopping times of two types of truncated SPRT for the mean of the exponential distribution, Two-sided exit problems in the ordered risk model

Cites Work

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• HITTING AND RUIN PROBABILITIES FOR COMPOUND POISSON PROCESSES AND THE CYCLE MAXIMUM OF THE M/G/1 QUEUE
• UPPER FIRST-EXIT TIMES OF COMPOUND POISSON PROCESSES REVISITED