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ON THE UPPER FIRST-EXIT TIMES OF COMPOUND G/M PROCESSES
Published online by Cambridge University Press: 22 June 2005
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.
- 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