Exit problems for oscillating compound Poisson process

Details Exit problems for oscillating compound Poisson process Exit problems for oscillating compound Poisson process

2011-01-27

arxiv.org/abs/1101.5279v1

Mathematics

Probability

Scientific paper

In this article we determine the Laplace transforms of the main boundary
functionals of the oscillating compound Poisson process. These are the first
passage time of the level, the joint distribution of the first exit time from
the interval and the value of the overshoot through the boundary. Under certain
conditions we establish the asymptotic behaviour of the mentioned functionals.

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