| Título: | Kendall's identity for the first crossing time revisited |
| Autores: |
Borovkov, Konstantin; University of Melbourne Burq, Zaeem; University of Melbourne |
| Fecha: | 2001-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Mathematics Skip-free Lévy process, first crossing time, change of measure. 60G51 |
| Descripción: | We give a new relatively compact proof of the famous identity for the distribution of the first hitting time of a linear boundary by a skip-free process with stationary independent increments. The proof uses martingale identities and change of measure. |
| Idioma: | Inglés |
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