On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process
DOI10.1080/07362990500522478zbMATH Open1105.60065OpenAlexW2077642920MaRDI QIDQ5488654FDOQ5488654
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
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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)
Cites Work
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- On generalized renewal measures and certain first passage times
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- New fluctuation analysis of \(D\)-policy bulk queues with multiple vacations
- A note on \(D\)-policy bulk queueing systems. (Letter to the editor)
- 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
- Fluctuations of Recurrent Processes and Their Applications to the Stock Market
- Tree-indexed processes: A high level crossing analysis
- High-Dimensional Nonlinear Diffusion Stochastic Processes
- Random observations of marked Cox processes. Time insensitive functionals
- Title not available (Why is that?)
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
- Random Walk Analysis in Antagonistic Stochastic Games
- Level crossings of an oscillating marked random walk
- Title not available (Why is that?)
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