Exit time functionals for integer-valued Poisson processes
Анотація
The joint distribution of all exit time functionals is studied in this paper for a fixed level $x$ and integer-valued compound Poisson processes. An exact formula for the distributions of these functionals is obtained in the case of semicontinuous processes. Limit relations are obtained for the distributions of the exit time functionals for $x=0$ or as $x\to \infty$.
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