Boundary Functionals of a Semicontinuous Process with Independent Increments on an Interval
We investigate boundary functionals of a semicontinuous process with independent increments on an interval with two reflecting boundaries. We determine the transition and ergodic distributions of the process, as well as the distributions of boundary functionals of the process, namely, the time of fi...
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| Datum: | 2004 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | Russisch Englisch |
| Veröffentlicht: |
Institute of Mathematics, NAS of Ukraine
2004
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| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/3761 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
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Ukrains’kyi Matematychnyi Zhurnal| Zusammenfassung: | We investigate boundary functionals of a semicontinuous process with independent increments on an interval with two reflecting boundaries. We determine the transition and ergodic distributions of the process, as well as the distributions of boundary functionals of the process, namely, the time of first hitting the upper (lower) boundary, the number of hittings of the boundaries, the number of intersections of the interval, and the total sojourn time of the process on the boundaries and inside the interval. We also present a limit theorem for the ergodic distribution of the process and asymptotic formulas for the mean values of the distributions considered. |
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