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Teoriya Veroyatnostei i ee Primeneniya, 1968, Volume 13, Issue 3, Pages 471–478
(Mi tvp867)
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This article is cited in 18 scientific papers (total in 18 papers)
On the first passage time of a given level for processes with independent increments
D. V. Gusak, V. S. Korolyuk Kiev
Abstract:
The distribution of the first passage time of a non-negative level for a homogeneous process with independent increments $\xi(t)$ is studied, $\xi(t)$ having a bounded variation, and its characteristic function being of the form $\mathbf Me^{i\alpha\xi(t)}=e^{i\psi(\alpha)}$, where
$$
\psi(\alpha)=i\alpha a+\int_{-\infty}^0(e^{i\alpha x}-1)\,dM(x)+\int_0^\infty(e^{i\alpha x}-1)\,dN(x).
$$
The double transformation of the distribution considered is shown to be
$$
\theta(s,\alpha)=
\begin{cases}
-\frac{\varkappa^+(s,0)}{\pi^+(s,\alpha)}&(a\le0),
\\
-\frac1{1-i\alpha a}\cdot\frac{\varkappa^+(s,0)}{\varkappa^+(s,\alpha)}&(a>0),
\end{cases}
$$
where $\varkappa^+(s,\alpha)$ is determined by the factorization identity
$$
\frac{s-\psi(\alpha)}{1-i\alpha a}=\varkappa^+(s,\alpha)\varkappa^-(s,\alpha)\quad(s>0,\ -\infty<\alpha<\infty).
$$
Received: 01.08.1966
Citation:
D. V. Gusak, V. S. Korolyuk, “On the first passage time of a given level for processes with independent increments”, Teor. Veroyatnost. i Primenen., 13:3 (1968), 471–478; Theory Probab. Appl., 13:3 (1968), 438–447
Linking options:
https://www.mathnet.ru/eng/tvp867 https://www.mathnet.ru/eng/tvp/v13/i3/p471
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