First-exit times for compound poisson processes for some types of positive and negative jumps

DOI10.1081/STM-120002778MaRDI QIDQ4532400zbMATH OpenOpenAlexFDO

Authors David Perry, Wolfgang Stadje, S. Zacks

Publication date 25 November 2002

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/stm-120002778

zbMATH Keywords

compound Poisson processfirst-exit timesingle-server queue

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25)

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Cited in

(39)

• Exit problems for the difference of a compound Poisson process and a compound renewal process
• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
• Exit problems for jump processes having double-sided jumps with rational Laplace transforms
• Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries
• On the generalized telegraph process with deterministic jumps
• Contributions to the theory of first-exit times of some compound processes in queueing theory
• Escape probabilities from an interval for compound Poisson processes with drift
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• First exit times for ordinary and compound Poisson processes with nonlinear boundaries
• First exit times for compound Poisson dams with a general release rule
• A two-sided first-exit problem for a compound Poisson process with a random upper boundary
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
• Exit times for a class of piecewise exponential Markov processes with two-sided jumps
• The perturbed compound Poisson risk model with two-sided jumps
• The expected discounted penalty function in the generalized Erlang(n) risk model with two-sided jumps and a constant dividend barrier
• FIRST-EXIT TIMES FOR POISSON SHOT NOISE
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• A Direct Approach to the Discounted Penalty Function
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