On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process

DOI10.1080/07362990500522478zbMath1105.60065OpenAlexW2077642920MaRDI QIDQ5488654

Agatha Liew, Jewgeni H. Dshalalow

Publication date: 22 September 2006

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990500522478

zbMATH Keywords

Renewal processFluctuationsFirst passage timeMarked point processExit indexFirst excess level

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Prediction theory (aspects of stochastic processes) (60G25) Renewal theory (60K05)

Related Items (8)

On multivariate antagonistic marked point processes ⋮ On fluctuations of a multivariate random walk with some applications to stock options trading and hedging ⋮ Random Walk Analysis in Antagonistic Stochastic Games ⋮ Level crossings of an oscillating marked random walk ⋮ Maintenance in single-server queues: a game-theoretic approach ⋮ On a dual hybrid queueing system ⋮ Multilayers in a modulated stochastic game ⋮ Time Sensitive Functionals in a Queue with Sequential Maintenance

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