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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}
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    Математические труды Siberian Advances in Mathematics
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    Full-text PDF :142
    References:36
    First page:2
     
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