EXIT FROM AN INTERVAL BY A DIFFERENCE OF TWO RENEWAL PROCESSES

VICTOR KADANKOV

Theory of Stochastic Processes Vol. 11 (27), no. 3–4, 2005, pp. 92–96

Integral transforms of the joint distribution of the first exit time from an interval, the value of the overshoot through a boundary, and the value of a linear component at the epoch of the exit are determined for the difference of two renewal processes.

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