A Two-Sided Exit Problem for a Difference of a Compound Poisson Process and a Compound Renewal Process with a Discrete Phase Space

DOI10.1080/15326340701828340zbMath1143.60033OpenAlexW2010162756MaRDI QIDQ5454675

Victor Kadankov, Tetyana Kadankova

Publication date: 31 March 2008

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

Full work available at URL: https://doi.org/10.1080/15326340701828340

zbMATH Keywords

value of overshootfirst exitdifference of reneval processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items (3)

Busy period, virtual waiting time and number of customers in \(G^{\delta }|M^{\kappa}|1| \text B\) system ⋮ Exit problems for the difference of a compound Poisson process and a compound renewal process ⋮ Intersections of an Interval By a Difference of a Compound Poisson Process and a Compound Renewal Process

Cites Work

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• Semi-Markov walk on the composition of two renewal processes
• Boundary crossing for the difference of two ordinary or compound Poisson processes
• Two-boundary problems for a Poisson process with exponentially distributed component
• First-exit times for compound poisson processes for some types of positive and negative jumps
• Two-boundary problems for semi-Markov walk with a linear drift
• On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks

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