First-exit times for increasing compound processes

D. Perry, W. Stadje, S. Zacks

Research output: Contribution to journalArticlepeer-review


For a process that increases linearly, with unit slope, between jumps of i.i.d. positive sizes occurring at renewal times, we present methods to compute the distribution of the first time a prespecified level is reached or exceeded, and of the position at this time. In the exponential case the Laplace transform of this first-exit time is derived in closed form. A general formula for the distribution of the stopping time is given, and shown to yield explicit results in certain cases. An effective method of successive approximation is also derived. The problem is equivalent to that of determining the distribution of the total ON time in [0, t] of a system changing between the states ON and OFF at the points of an alternating renewal process.

Original languageEnglish
Pages (from-to)977-992
Number of pages16
JournalCommunications in Statistics. Part C: Stochastic Models
Issue number5
StatePublished - 1999
Externally publishedYes

Bibliographical note

Funding Information:
This research was carried out while the first author (D. Perry) was a visiting professor at the University of Osnabriick. The support by the Deutsche Forschungsgemeinschaft is gratefully acknowledged.

ASJC Scopus subject areas

  • Modeling and Simulation


Dive into the research topics of 'First-exit times for increasing compound processes'. Together they form a unique fingerprint.

Cite this