Stopping problems for compound processes with applications to queues

DOI10.1016/S0378-3758(00)00103-8zbMath0970.60050MaRDI QIDQ1589681

David Perry

Publication date: 12 December 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

time reversalcompound Poisson processdual processlinear boundaries

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Stable stochastic processes (60G52)

Related Items (1)

A two-sided first-exit problem for a compound Poisson process with a random upper boundary

Cites Work

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• On up- and downcrossings
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• First-exit times for increasing compound processes
• Single-server queueing systems with uniformly limited queueing time
• The suprema of the actual and virtual waiting times during a busy cycle of the K_m/K_n/1 queueing system
• Busy period analysis for \(M/G/1\) and \(G/M/1\) type queues with restricted accessibility

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