Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries
type: Item
instance of: scholarly article
title: Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries
zbMATH Open document ID: 1073.60045
published in: Journal of Statistical Planning and Inference
publication date: 2005-02-22T00:00:00Z
review text: 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.
reviewed by: Wolfgang Stadje
Mathematics Subject Classification ID: 60G17
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 2136305
author: S. Zacks
MaRDI profile type: Publication
full work available at URL: j.jspi.2003.05.003
OpenAlex ID: W2076577848
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DOI: 10.1016/J.JSPI.2003.05.003
description: scientific article; zbMATH DE number 2136305