On a class of stochastic models with two-sided jumps

DOI10.1007/S11134-011-9228-ZMaRDI QIDQ660145zbMATH OpenOpenAlexFDO

Authors Eric C. K. Cheung

Publication date 26 January 2012

Published in Queueing Systems (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/s11134-011-9228-z

zbMATH Keywords

busy periodnegative customersGerber-Shiu functiondual risk modeltime of ruindefective renewal equationtwo-sided jumps\(GI/G/1\) queueidle periodtime of recovery

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Markov renewal processes, semi-Markov processes (60K15)

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Cited in

(12)

• Two-Sided Estimates for Distribution Densities in Models with Jumps
• A Markov additive risk process with a dividend barrier
• The expected discounted penalty function under a renewal risk model with stochastic income
• On a stochastic model for a cooperative banking scheme for microcredit
• Two-time-scale Jump-Diffusion Models with Markovian Switching Regimes
• The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier
• A two-state jump model
• Stochastic fluid models with upward jumps and phase transitions
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps
• A unifying approach to the analysis of business with random gains
• The Erlang(n) risk model with two-sided jumps and a constant dividend barrier

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