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ON THE UPPER FIRST-EXIT TIMES OF COMPOUND G/M PROCESSES

Published online by Cambridge University Press:  22 June 2005

W. Stadje  and
S. Zacks
W. Stadje
Affiliation:
Fachbereich Mathematik/Informatik, University of Osnabrück, 49069 Osnabrück, Germany, E-mail: wolfgang@mathematik.uni-osnabrueck.de
S. Zacks
Affiliation:
Department of Mathematical Sciences, Binghamton University, Binghamton, NY 13902-6000, E-mail: shelly@math.binghamton.edu
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Abstract

For a compound process with exponential jumps at renewal times, we determine, in closed form, the density of the first time an upper linear boundary is crossed. It is shown how simple formulas for the Laplace transform and the first two moments can be directly derived from this density.

Information

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 19 , Issue 3 , July 2005 , pp. 397 - 403
Copyright
© 2005 Cambridge University Press

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References

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