On hitting times for compound Poisson dams with exponential jumps and linear release rate-Reference-Cited by-同舟云学术

On hitting times for compound Poisson dams with exponential jumps and linear release rate

Published:2001-09 Issue:3 Volume:38 Page:781-786
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Kella Offer,Stadje Wolfgang

Abstract

For a compound Poisson dam with exponential jumps and linear release rate (shot-noise process), we compute the Laplace-Stieltjes transform (LST) and the mean of the hitting time of some positive level given that the process starts from some given positive level. The solution for the LST is in terms of confluent hypergeometric functions of the first and second kinds (Kummer functions).

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

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