scholarly journals A Saddlepoint Approximation to the Distribution of Inhomogeneous Discounted Compound Poisson Processes

2009 ◽  
Vol 12 (3) ◽  
pp. 533-551 ◽  
Author(s):  
Riccardo Gatto
Keyword(s):  
Saddlepoint Approximation ◽  
Poisson Processes ◽  
Compound Poisson ◽  
Compound Poisson Processes

Stochastic barriers for the Wiener process

1983 ◽  
Vol 20 (2) ◽  
pp. 338-348 ◽  
Author(s):  
C. Park ◽  
J. A. Beekman
Keyword(s):  
Stochastic Process ◽  
Wiener Process ◽  
Poisson Processes ◽  
Standard Wiener Process ◽  
Compound Poisson ◽  
Compound Poisson Processes ◽  
Deterministic Function

Let {W(t), 0 ≦ t < ∞} be the standard Wiener process. The probabilities of the type P[sup0≦t ≦ TW(t) − f(t) ≧ 0] have been extensively studied when f(t) is a deterministic function. This paper discusses the probabilities of the type P{sup0≦t ≦ TW(t) − [f(t) + X(t)] ≧ 0} when X(t) is a stochastic process. By taking compound Poisson processes as X(t), the paper gives procedures for finding such probabilities.

Simple approximations to the expected waiting time for a cluster of any given size, for point processes

1983 ◽  
Vol 15 (01) ◽  
pp. 21-38 ◽  
Author(s):  
Ester Samuel-Cahn
Keyword(s):  
Waiting Time ◽  
Point Processes ◽  
Upper Bounds ◽  
Poisson Processes ◽  
Lower And Upper Bounds ◽  
Compound Poisson ◽  
Compound Poisson Processes ◽  
Interarrival Times ◽  
Expected Waiting Time ◽  
Simple Points

For point processes, such that the interarrival times of points are independently and identically distributed, let T(L, m) denote the time until at least points cluster within an interval of length at most L. Let τ (L, m) + 1 be the total number of points observed until the above happens. Simple approximations of Eτ (L, m) and ET(L, m) are derived, as well as lower and upper bounds for their value. Approximations to the variances are also given. In particular the Poisson, Bernoulli and compound Poisson processes are discussed in detail. Some numerical tables are included.

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