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

被引：23

作者：

Kella, O

Stadje, W

机构：

[1] Hebrew Univ Jerusalem, Dept Stat, IL-91905 Jerusalem, Israel

[2] Univ Osnabruck, Dept Math & Comp Sci, D-49069 Osnabruck, Germany

来源：

JOURNAL OF APPLIED PROBABILITY | 2001年 / 38卷 / 03期

关键词：

dam with linear release rates; shot-noise process; Markov process; hitting times; confluent hypergeometric functions;

D O I：

10.1017/S0021900200018945

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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).

引用

页码：781 / 786

页数：6

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