Matematicheskie Trudy
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Mat. Tr.:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


Matematicheskie Trudy, 2019, Volume 22, Number 2, Pages 134–156
DOI: https://doi.org/10.33048/mattrudy.2019.22.208
(Mi mt361)
 

Exact asymptotics for the distribution of the time of attaining the maximum for a trajectory of a compound Poisson process with linear drift

V. E. Mosyagin

Tyumen' State University, Tyumen', 625003 Russia
References:
Abstract: We consider the random process $at-\nu_+(pt)+\nu_-(-qt)$, $ t\in(-\infty,\infty)$, where $\nu_-$ and $\nu_+$ are independent standard Poisson processes if $t\geq 0$ and $\nu_-(t)=\nu_+(t)=0$ if $t<0$. Under certain conditions on the parameters $a$, $p$, and $q$, we study the distribution function $G=G(x)$ of the time of attaining the maximum for a trajectory of this process. In the present article, we find an exact asymptotics for the tails of $G$. We also find a connection between this problem and the statistical problem of estimation of an unknown discontinuity point of a density function.
Key words: compound Poisson process with linear drift, estimation of a discontinuity point of a density, exact asymptotics for distribution tails.
Received: 30.03.2019
Revised: 21.04.2019
Accepted: 10.06.2019
English version:
Siberian Advances in Mathematics, 2020, Volume 30, Issue 1, Pages 26–42
DOI: https://doi.org/10.3103/S1055134420010034
Bibliographic databases:
Document Type: Article
UDC: 519.214.6
Language: Russian
Citation: V. E. Mosyagin, “Exact asymptotics for the distribution of the time of attaining the maximum for a trajectory of a compound Poisson process with linear drift”, Mat. Tr., 22:2 (2019), 134–156; Siberian Adv. Math., 30:1 (2020), 26–42
Citation in format AMSBIB
\Bibitem{Mos19}
\by V.~E.~Mosyagin
\paper Exact asymptotics for the~distribution of the~time of attaining the~maximum for a~trajectory of a~compound Poisson process with linear drift
\jour Mat. Tr.
\yr 2019
\vol 22
\issue 2
\pages 134--156
\mathnet{http://mi.mathnet.ru/mt361}
\crossref{https://doi.org/10.33048/mattrudy.2019.22.208}
\transl
\jour Siberian Adv. Math.
\yr 2020
\vol 30
\issue 1
\pages 26--42
\crossref{https://doi.org/10.3103/S1055134420010034}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85081978382}
Linking options:
  • https://www.mathnet.ru/eng/mt361
  • https://www.mathnet.ru/eng/mt/v22/i2/p134
  • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Математические труды Siberian Advances in Mathematics
     
      Contact us:
     Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024