First passage times on zero and one and natural exponential families

被引：0

作者：

Kokonendji, CC ^{[1
]}

机构：

[1] Univ Pau & Pays Adour, CNRS, ERS 2055,IUT STID, Lab Math Appl, F-64000 Pau, France

来源：

STATISTICS & PROBABILITY LETTERS | 2001年 / 51卷 / 03期

关键词：

first passage time; inversion; Levy process; natural exponential family; variance function;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we link the first passage times on zero and one for certain Levy processes on R and for right continuous random walks on Z. We use it to get a probabilistic interpretation of the notion of inversion between natural exponential families. The application to cubic variance functions is given. (C) 2001 Elsevier Science B.V. All rights reserved MSC: 60E07; 62B15.

引用

页码：293 / 298

页数：6

共 50 条

[1] First-Passage Percolation with Exponential Times on a Ladder
Renlund, Henrik
[J]. COMBINATORICS PROBABILITY & COMPUTING, 2010, 19 (04): : 593 - 601
[2] Asymptotic Results for First-Passage Times of Some Exponential Processes
Giuseppe D’Onofrio
Claudio Macci
Enrica Pirozzi
[J]. Methodology and Computing in Applied Probability, 2018, 20 : 1453 - 1476
[3] On first passage times of a hyper-exponential jump diffusion process
Cai, Ning
[J]. OPERATIONS RESEARCH LETTERS, 2009, 37 (02) : 127 - 134
[4] Asymptotic Results for First-Passage Times of Some Exponential Processes
D'Onofrio, Giuseppe
Macci, Claudio
Pirozzi, Enrica
[J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2018, 20 (04) : 1453 - 1476
[5] Exponential moments of first passage times and related quantities for Levy processes
Aurzada, Frank
Iksanov, Alexander
Meiners, Matthias
[J]. MATHEMATISCHE NACHRICHTEN, 2015, 288 (17-18) : 1921 - 1938
[6] EXPONENTIAL MOMENTS OF FIRST PASSAGE TIMES AND RELATED QUANTITIES FOR RANDOM WALKS
Iksanov, Alexander
Meiners, Matthias
[J]. ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2010, 15 : 365 - 375
[7] On first passage times of sticky reflecting diffusion processes with double exponential jumps
Song, Shiyu
Wang, Yongjin
[J]. JOURNAL OF APPLIED PROBABILITY, 2020, 57 (01) : 221 - 236
[8] BEST TESTS FOR ZERO DRIFT BASED ON FIRST PASSAGE TIMES IN BROWNIAN MOTION
NADAS, A
[J]. TECHNOMETRICS, 1973, 15 (01) : 125 - 132
[9] NATURAL EXPONENTIAL-FAMILIES IN R(D) INVARIANT FOR ONE GROUP
CASALIS, M
[J]. INTERNATIONAL STATISTICAL REVIEW, 1991, 59 (02) : 241 - 262
[10] Cuts in natural exponential families
BarndorffNielsen, OE
Koudou, AE
[J]. THEORY OF PROBABILITY AND ITS APPLICATIONS, 1996, 40 (02) : 220 - 229

← 1 2 3 4 5 →