Some exponential type bounds for hitting time distributions of storage processes

Keigo Yamada

Stochastic Processes and their Applications, 1985, vol. 19, issue 1, 101-109

Abstract: We consider a storage process with finite or infinite capacity having a compound Poisson process as input and general release rule. For this process we derive some exponential type upper and lower bounds for hitting time distributions by means of martingale theory.

Keywords: storage; processes; hitting; times; exponential; bounds; martingale; theory (search for similar items in EconPapers)
Date: 1985
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