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Zapiski Nauchnykh Seminarov POMI, 2004, Volume 311, Pages 286–297
(Mi znsl802)
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This article is cited in 3 scientific papers (total in 3 papers)
Inverse process with independent positive increments: finite-dimensional distributions
B. P. Harlamov Institute of Problems of Mechanical Engineering, Russian Academy of Sciences
Abstract:
An inverse process with independent positive increments is considered. For such a procees the first hitting time $\tau_x$ of the level $x$ as a function of $x\ge0$ is the proper process with independent positive increments. In terms of the first hitting times and their L'evy measures malti-demensional distribution densities and Laplace transformations are derived. Stationary distributions of increments of the process are being investigated.
Received: 07.07.2004
Citation:
B. P. Harlamov, “Inverse process with independent positive increments: finite-dimensional distributions”, Probability and statistics. Part 7, Zap. Nauchn. Sem. POMI, 311, POMI, St. Petersburg, 2004, 286–297; J. Math. Sci. (N. Y.), 133:3 (2006), 1371–1377
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https://www.mathnet.ru/eng/znsl802 https://www.mathnet.ru/eng/znsl/v311/p286
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Abstract page: | 295 | Full-text PDF : | 70 | References: | 73 |
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