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Asymptotics for the Distribution of the Time of Attaining the Maximum for a Trajectory of a Poisson Process with Linear Drift and Intensity Switch
Theory of Probability and Its Applications ( IF 0.5 ) Pub Date : 2021-05-06 , DOI: 10.1137/s0040585x97t990265
V. E. Mosyagin

Theory of Probability &Its Applications, Volume 66, Issue 1, Page 75-88, January 2021.
We find the exact asymptotics of the distribution of the time when the trajectory of the process $Y(t)=at-\nu_+(pt)+\nu_-(-qt)$, $t\in(-\infty,\infty)$ attains its maximum, where $\nu_{\pm}(t)$ are independent standard Poisson processes extended by zero on the negative semiaxis. The parameters $a$, $p$, $q$ are assumed just to satisfy the condition ${E}Y(t)<0$, $t\neq 0$.


中文翻译:

具有线性漂移和强度开关的泊松过程轨迹达到最大值的时间分布的渐近性

Theory of Probability & Its Applications,第 66 卷,第 1 期,第 75-88 页,2021 年 1 月。
当过程的轨迹 $Y(t)=at-\nu_+(pt )+\nu_-(-qt)$, $t\in(-\infty,\infty)$ 达到最大值,其中 $\nu_{\pm}(t)$ 是独立的标准泊松过程,在负半轴。假设参数 $a$, $p$, $q$ 仅满足条件 ${E}Y(t)<0$, $t\neq 0$。
更新日期:2021-07-15
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