A Two-Sided Exit Problem for a Difference of a Compound Poisson Process and a Compound Renewal Process with a Discrete Phase Space

DOI10.1080/15326340701828340MaRDI QIDQ5454675zbMATH OpenOpenAlexFDO

Authors V. F. Kadankov, T. V. Kadankova

Publication date 31 March 2008

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326340701828340

zbMATH Keywords

value of overshootfirst exitdifference of reneval processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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Cites work

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• scientific article; zbMATH DE number 3194856 (Why is no real title available?)
• Boundary crossing for the difference of two ordinary or compound Poisson processes
• First-exit times for compound poisson processes for some types of positive and negative jumps
• Main probability characteristics of the queueing system \(\text{G}^{\kappa}|\text{G}|1\)
• On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks
• Semi-Markov walk on the composition of two renewal processes
• Two-boundary problems for a Poisson process with exponentially distributed component
• Two-boundary problems for semi-Markov walk with a linear drift

Cited in

(10)

• Busy period, virtual waiting time and number of customers in \(G^{\delta }|M^{\kappa}|1| \text B\) system
• Exit problems for the difference of a compound Poisson process and a compound renewal process
• First-exit times for compound poisson processes for some types of positive and negative jumps
• The two-barrier escape problem for compound renewal processes with two-sided jumps
• scientific article; zbMATH DE number 5220368 (Why is no real title available?)
• Intersections of an Interval By a Difference of a Compound Poisson Process and a Compound Renewal Process
• Number of jumps in two-sided first-exit problems for a compound Poisson process
• Boundary crossing for the difference of two ordinary or compound Poisson processes
• A two-sided first-exit problem for a compound Poisson process with a random upper boundary
• Escape probabilities from an interval for compound Poisson processes with drift

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