2000 character limit reached
Some exact results on Lindley process with Laplace jumps (2310.11879v1)
Published 18 Oct 2023 in math.PR
Abstract: We consider a Lindley process with Laplace distributed space increments. We obtain closed form recursive expressions for the density function of the position of the process and for its first exit time distribution from the domain $[0,h]$. We illustrate the results in terms of the parameters of the process. The work is completed by an open source version of the software.
Collections
Sign up for free to add this paper to one or more collections.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.