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First-passage times in skip-free processes

We derive simple criteria to ensure the finiteness of the mean first-passage times into semi-infinite sets for real-valued skip-free processes, which move by random jumps in one direction and deterministically, for a random time, in the other. These criteria are applied to state-dependent queueing systems, to give finiteness of the mean of the busy period, and to a self-correcting birth process.
Year of publication:
1978
Authors: Tweedie, R. L. ; Westcott, M.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 7.1978, 2, p. 191-204
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874194
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