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Exit problems for oscillating compound Poisson process

Research paper by Tetyana Kadankova

Indexed on: 27 Jan '11Published on: 27 Jan '11Published in: Mathematics - Probability



Abstract

In this article we determine the Laplace transforms of the main boundary functionals of the oscillating compound Poisson process. These are the first passage time of the level, the joint distribution of the first exit time from the interval and the value of the overshoot through the boundary. Under certain conditions we establish the asymptotic behaviour of the mentioned functionals.