On the Mean First Exit Time for a Compound Poisson Process
Volume 14, Issue 2 (2016), pp. 347–364
Pub. online: 4 August 2022
Type: Research Article
Open Access
Open Access
Published
4 August 2022
4 August 2022
Abstract
Abstract: In this study, first exit time of a compound Poisson process with positive jumps and an upper horizontal boundary is considered. An explicit formula is derived for the mean first exit time associated with the compound Poisson process. Finally, an application on traffic accidents is given to illustrate the usage of the mean first exit time.