Exact asymptotics for small deviations of compound Poisson process

MaRDI QIDQ2906960zbMATH OpenFDO

Authors Vitalii A. Gasanenko

Publication date 5 September 2012

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

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)

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Cited in

(5)

• The first rendezvous time of Brownian motion and compound Poisson-type processes
• 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
• scientific article; zbMATH DE number 1762653 (Why is no real title available?)
• The small deviations of multi-dimensional diffusion processes and rarefaction by boundaries

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