DISTRIBUTION FUNCTION OF FIRST EXIT TIME FOR A COMPOUND POISSON PROCESS
Öz
In this study, the first exit time of a compound Poisson process with positive jumps and an upper horizontal boundary is considered. An explicit formula is derived for the distribution function of the first exit time associated with the compound Poisson process. By means of a proposed algorithm, some numerical examples and an application on traffic accidents are also given to illustrate the usage of the distribution function of the first exit time and proposed algorithm.
Anahtar Kelimeler
Kaynakça
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