Absorption and first-passage times for a compound Poisson process in a general upper boundary

DOI10.2307/3214516zbMath0788.60068OpenAlexW2329492537MaRDI QIDQ4280653

S. F. L. Gallot

Publication date: 24 May 1994

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214516

zbMATH Keywords

compound Poisson processfirst-passage timesKolmogorov-Smirnov statisticsprobability of absorption

Mathematics Subject Classification ID

Related Items (9)

The probability of ruin in finite time with discrete claim size distribution ⋮ On the first crossing of the surplus process with a given upper barrier ⋮ Population processes sampled at random times ⋮ First-exit times for compound poisson processes for some types of positive and negative jumps ⋮ Discrete compound Poisson process with curved boundaries: Polynomial structures and recur\,sions ⋮ Boundary crossing of order statistics point processes ⋮ A two-sided first-exit problem for a compound Poisson process with a random upper boundary ⋮ Appell pseudopolynomials and Erlang-type risk models ⋮ On the first meeting or crossing of two independent trajectories for some counting processes.

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