Exact asymptotics for small deviations of compound Poisson process

zbMATH Open1258.60034MaRDI QIDQ2906960FDOQ2906960

Vitalii A. Gasanenko

Publication date: 5 September 2012

Published in: Advances and Applications in Mathematical Sciences (Search for Journal in Brave)

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zbMATH Keywords

compound Poisson processasymptotic sojourn problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Parameter dependent boundary value problems for ordinary differential equations (34B08) Boundary theory for Markov processes (60J50)

Cited In (4)

• On the asymptotics of the sojourn probability of a Poisson process between two nonlinear boundaries that move away from one another
• Asymptotic expansion for the distribution density function of the compound Poisson process in large deviations
• Title not available (Why is that?)
• The first rendezvous time of Brownian motion and compound Poisson-type processes

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