A bound for the expected hitting time of storage processes

Keigo Yamada

Stochastic Processes and their Applications, 1983, vol. 14, issue 1, 93-105

Abstract: An upper bound for the expected hitting time to a critical level is given for a storage process that can be described as a solution of a stochastic integral equation in which the input process is a jump process. This upper bound is applicable when suitable conditions hold for the local description of the jump process and for the parameters appearing in the storage equation.

Keywords: The; expected; hitting; time; upper; bound; storage; processes; jump; process (search for similar items in EconPapers)
Date: 1983
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