2017
Том 69
№ 9

All Issues

On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks

Kadankov V. F., Kadankova T. V.

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Abstract

For a homogeneous process with independent increments, we determine the integral transforms of the joint distribution of the first-exit time from an interval and the value of a jump of a process over the boundary at exit time and the joint distribution of the supremum, infimum, and value of the process.

English version (Springer): Ukrainian Mathematical Journal 57 (2005), no. 10, pp 1590-1620.

Citation Example: Kadankov V. F., Kadankova T. V. On the distribution of the time of the first exit from an interval and the value of a jump over the boundary for processes with independent increments and random walks // Ukr. Mat. Zh. - 2005. - 57, № 10. - pp. 1359–1384.

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