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

DOI10.1080/15326340701828340zbMATH Open1143.60033OpenAlexW2010162756MaRDI QIDQ5454675FDOQ5454675

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

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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)

Cites Work

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• 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
• First-exit times for compound poisson processes for some types of positive and negative jumps
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• Title not available (Why is that?)
• Semi-Markov walk on the composition of two renewal processes
• Boundary crossing for the difference of two ordinary or compound Poisson processes
• Main probability characteristics of the queueing system \(\text{G}^{\kappa}|\text{G}|1\)
• Title not available (Why is that?)
• Two-boundary problems for semi-Markov walk with a linear drift
• Two-boundary problems for a Poisson process with exponentially distributed component

Cited In (8)

• 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
• Title not available (Why is that?)
• Intersections of an Interval By a Difference of a Compound Poisson Process and a Compound Renewal 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

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