First-exit times for increasing compound processes

DOI10.1080/15326349908807571zbMath0939.60021OpenAlexW1981207412MaRDI QIDQ4705824

Shelemyahu Zacks, David Perry, Wolfgang Stadje

Publication date: 28 June 2000

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349908807571

zbMATH Keywords

successive approximationfirst-exit timecompound processalternating renewal process

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05)

Related Items (14)

First-exit times for compound poisson processes for some types of positive and negative jumps ⋮ Some results on the telegraph process driven by gamma components ⋮ Generalized integrated telegraph processes and the distribution of related stopping times ⋮ The availability and hazard of a system under a cumulative damage process with replacements ⋮ Damped jump-telegraph processes ⋮ Kac's rescaling for jump-telegraph processes ⋮ First exit times for ordinary and compound Poisson processes with nonlinear boundaries ⋮ Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries ⋮ A conversation with Shelemyahu Zacks ⋮ Density and distribution evaluation for convolution of independent gamma variables ⋮ On estimation for Brownian motion governed by telegraph process with multiple off states ⋮ Discretely observed Brownian motion governed by telegraph process: estimation ⋮ Stopping problems for compound processes with applications to queues ⋮ On occupation time for on-off processes with multiple off-states

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