A generalised ratio identity

P. A. Pegg

Stochastic Processes and their Applications, 1977, vol. 5, issue 1, 39-45

Abstract: An identity is derived relating the distribution of a continuous time, skip-free process with two impenetrable barriers to the distribution of a process with one barrier. It is indicated how the methods used here can also be used to give results for related processes with different types of barriers. The identity is then used to derive explicit results giving the distribution of the process with two impenetrable barriers.

Keywords: Stationary; independent; increments; ratio; identity; skip-free; processes; impenetrable; barriers; absorbing; barriers (search for similar items in EconPapers)
Date: 1977
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