On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process

DOI10.1080/07362990500522478MaRDI QIDQ5488654zbMATH OpenOpenAlexFDO

Authors Jewgeni H. Dshalalow, Agatha Liew

Publication date 22 September 2006

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990500522478

zbMATH Keywords

Renewal processFluctuationsFirst passage timeMarked point processExit indexFirst excess level

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Prediction theory (aspects of stochastic processes) (60G25) Queueing theory (aspects of probability theory) (60K25) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

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Cites work

• scientific article; zbMATH DE number 820630 (Why is no real title available?)
• A note on \(D\)-policy bulk queueing systems. (Letter to the editor)
• Fluctuation theory in continuous time
• Fluctuations of Recurrent Processes and Their Applications to the Stock Market
• Generalized Poisson Models and their Applications in Insurance and Finance
• High-Dimensional Nonlinear Diffusion Stochastic Processes
• New fluctuation analysis of \(D\)-policy bulk queues with multiple vacations
• On generalized renewal measures and certain first passage times
• On the level crossing of multi-dimensional delayed renewal processes
• On the position of a random walk at the time of first exit from a sphere
• Perpetual options and Canadization through fluctuation theory
• Random observations of marked Cox processes. Time insensitive functionals
• Range of fluctuation of Brownian motion on a complete Riemannian manifold
• Time sensitive functionals of marked Cox processes
• Tree-indexed processes: A high level crossing analysis

Cited in

(10)

• On a dual hybrid queueing system
• Maintenance in single-server queues: a game-theoretic approach
• On fluctuations of a multivariate random walk with some applications to stock options trading and hedging
• Multilayers in a modulated stochastic game
• On exit times of multivariate random walk with some applications to finance
• On multivariate antagonistic marked point processes
• Time sensitive functionals in a queue with sequential maintenance
• Level crossings of an oscillating marked random walk
• Random Walk Analysis in Antagonistic Stochastic Games
• scientific article; zbMATH DE number 2219055 (Why is no real title available?)

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