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.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability