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math.PR2019
Escape probabilities of compound renewal processes with drift
Javier Villarroel, Juan A. Vega, Miquel Montero
We consider the problem of determining escape probabilities from an interval of a general compound renewal process with drift. This problem is reduced to the solution of a certain…
math.PR2010★ 4 cited
Exit times in non-Markovian drifting continuous-time random walk processes
Miquel Montero, Javier Villarroel
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump…