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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
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
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
Linking options:
https://www.mathnet.ru/eng/mt361 https://www.mathnet.ru/eng/mt/v22/i2/p134
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Abstract page: | 321 | Full-text PDF : | 142 | References: | 36 | First page: | 2 |
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