On the First Passage Time Across a Given Level for Processes with Independent Increments

Previous article Next article On the First Passage Time Across a Given Level for Processes with Independent IncrementsD. V. Gusak and V. S. KoralyukD. V. Gusak and V. S. Koralyukhttps://doi.org/10.1137/1113053PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] Glen Baxter and , M. D. Donsker, On the distribution of the supremum functional for processes with stationary independent increments, Trans. Amer. Math. Soc., 85 (1957), 73–87 MR0084900 0078.32002 CrossrefGoogle Scholar[2] Ronald Pyke, The supremum and infimum of the Poisson process, Ann. Math. Statist., 30 (1959), 568–576 MR0107315 0089.13602 CrossrefGoogle Scholar[3] Julian Keilson, The first passage time density for homogeneous skip-free walks on the continuum, Ann. Math. Statist., 34 (1963), 1003–1011 MR0153060 0113.33501 CrossrefGoogle Scholar[4] A. V. Skorohod, Random Processes with Independent Increments, M., Izd,-vo “Nauka”, 1964 Google Scholar[5] V. M. 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MR0198558 CrossrefGoogle Scholar[10] B. A. Rogozin, On the distribution of the first jump, Theory Prob. Applications, 9 (1964), 450–465 10.1137/1109060 LinkGoogle Scholar[11] M. G. Kren, Integral equations on the half-line with a kernel depending on the difference of the arguments, Uspehi Mat. Nauk, 13 (1958), 3–120, (In Russian.) MR0102721 Google Scholar Previous article Next article FiguresRelatedReferencesCited byDetails Factorization Identities for Reflected Processes, with Applications1 March 2016 | Journal of Applied Probability, Vol. 50, No. 03 Cross Ref Factorization Identities for Reflected Processes, with Applications30 January 2018 | Journal of Applied Probability, Vol. 50, No. 3 Cross Ref Analytic Proof of Pecherskii–Rogozin Identity and Wiener–Hopf FactorizationA. 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V. Gusak17 July 2006 | Theory of Probability & Its Applications, Vol. 14, No. 1AbstractPDF (608 KB) Volume 13, Issue 3| 1968Theory of Probability & Its Applications History Submitted:08 January 1966Published online:17 July 2006 InformationCopyright © Society for Industrial and Applied MathematicsPDF Download Article & Publication DataArticle DOI:10.1137/1113053Article page range:pp. 448-456ISSN (print):0040-585XISSN (online):1095-7219Publisher:Society for Industrial and Applied Mathematics