On hitting times for jump-diffusion processes with past dependent local characteristics

DOI10.1016/0304-4149(93)90099-PzbMath0802.60039MaRDI QIDQ689177

Manfred Schäl

Publication date: 9 December 1993

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

zbMATH Keywords

Laplace transformfirst hitting time of zeroupwards jumps of a compound Poisson process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (2)

On the first crossing of the surplus process with a given upper barrier ⋮ Some results for the compound Poisson process that is perturbed by diffusion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Risk theory for the compound Poisson process that is perturbed by diffusion
• When does the surplus reach a given target?
• Optimal control of a one-dimensional storage process
• Some martingales related to cumulative sum tests and single-server queues
• Queues with server vacations and Lévy processes with secondary jump input
• Ruin probabilities expressed in terms of storage processes
• [https://portal.mardi4nfdi.de/wiki/Publication:4043914 Diffusion processes associated with L�vy generators]
• Minimizing or Maximizing the Expected Time to Reach Zero

This page was built for publication: On hitting times for jump-diffusion processes with past dependent local characteristics