FIRST-EXIT TIMES FOR POISSON SHOT NOISE

DOI10.1081/STM-100001398zbMath1009.60031OpenAlexW2088802323MaRDI QIDQ2746238

Shelemyahu Zacks, Wolfgang Stadje, David Perry

Publication date: 10 December 2002

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/stm-100001398

zbMATH Keywords

Laplace transformintegral equationPoisson processshot noisefirst-exit time

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (8)

Exit times for a class of piecewise exponential Markov processes with two-sided jumps ⋮ Exact solutions of some exit times for the diffusion risk model with liquid reserves, credit and debit interest ⋮ Stochastic Models for the Amount of Overflow in a Finite Dam with Random Inputs, Random Outputs, and Exponential Release Policy ⋮ On exit times of Levy-driven Ornstein-Uhlenbeck processes ⋮ First exit times and diffusion approximations for storage models with Poisson inputs, Poisson outputs and deterministic release rule ⋮ Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries ⋮ Limiting properties of Poisson shot noise processes ⋮ On jump-diffusive driving noise sources. Some explicit results and applications

Cites Work

• Unnamed Item
• Loud shot noise
• Probability Distributions and Level Crossings of Shot Noise Models
• The stability of storage models with shot noise input
• Weak limit results for the extremes of a class of shot noise processes
• Computation of Shot-Noise Probability Distributions and Densities

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