First exit times for compound Poisson dams with a general release rule

An infinite dam with compound Poisson inputs and a state-dependent release rate is considered. For this dam, we solve Kolmogorov’s backward differential equation to obtain the Laplace transforms of the first exit times in terms of a certain positive kernel. This allows us to provide an explicit expression for the Laplace transform of the wet period for a finite dam. Copyright Springer-Verlag 2007

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Year of publication:	2007
Authors:	Lee, Jiyeon
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 65.2007, 1, p. 169-178
Publisher:	Springer
Subject:	First exit times \| Compound Poisson dams \| Wet periods \| Laplace transforms

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010950054