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2001 Kendall's identity for the first crossing time revisited
Konstantin Borovkov, Zaeem Burq
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Electron. Commun. Probab. 6(none): 91-94 (2001). DOI: 10.1214/ECP.v6-1038

Abstract

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.

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Konstantin Borovkov. Zaeem Burq. "Kendall's identity for the first crossing time revisited." Electron. Commun. Probab. 6 91 - 94, 2001. https://doi.org/10.1214/ECP.v6-1038

Information

Accepted: 3 August 2001; Published: 2001
First available in Project Euclid: 19 April 2016

zbMATH: 1008.60065
MathSciNet: MR1871697
Digital Object Identifier: 10.1214/ECP.v6-1038

Subjects:
Primary: 60G51

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