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Solutions of some two-sided boundary problems for sums of variables with alternating distributions

Published online by Cambridge University Press:  14 July 2016

J. Chover  and
G. Yeo
J. Chover
Affiliation:
University of Wisconsin
G. Yeo
Affiliation:
University of Sheffield
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Extract

In this paper we present a method for obtaining explicit results for some two-sided boundary problems involving sums of independent random variables with alternating distributions. We apply the method to finding the first passage time to either one of two finite barriers, and to some situations arising in queueing and dam theory. The results can be expressed in terms of a finite sum of simple repeated integrals (or sums) of known functions (cf. formulae (3.6)– (3.11)).

Type
Research Papers
Information
Journal of Applied Probability , Volume 2 , Issue 2 , December 1965 , pp. 377 - 395
Copyright
Copyright © Applied Probability Trust 

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References

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