4 papers · 1 filter
On some new moments of Gamma type
Tetyana Kadankova, Thomas Simon, Min Wang
We investigate certain positive random variables having moments of Gamma type. Some necessary and some sufficient conditions are given for their existence. In particular, we observ…
Busy period, time of the first loss of a customer and the number of customers in
Tetyana Kadankova, Victor Kadankov, Noel Veraverbeke
A two-sided exit problem is solved for a difference of a compound Poisson process and a compound renewal process. More precisely, the Laplace transforms of the joint distribution o…
Exit problems for oscillating compound Poisson process
Tetyana Kadankova
In this article we determine the Laplace transforms of the main boundary functionals of the oscillating compound Poisson process. These are the first passage time of the level, the…
On several two-boundary problems for a particular class of Lévy processes
Tetyana Kadankova, Noël Veraverbeke
Several two-boundary problems are solved for a special Lévy process: the Poisson process with an exponential component. The jumps of this process are controlled by a homogeneous Po…