Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries
The paper reviews recent results on exact distributions of stopping times for compound Poisson processes and linear upper and lower boundaries. The approach is based on a sample path analysis and renewal arguments. The two cases of discrete and absolutely continuous jump sizes are treated separately. Explicit formulas are given. The results have applications in sequential analysis, queueing and inventory theory, risk theory in insurance and finance, and related fields.
scientific article; zbMATH DE number 2136305