Work

Some Exact Results on Lindley Process with Laplace Jumps

Year: 2025

Type: article

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. An example of the application of the analytical results is discussed in the framework of the CUSUM method.

Source: Mathematics

DOI: 10.3390/math13071166

Authors: Emanuele Lucrezia, Laura Sacerdote, Cristina Zucca

Institution: University of Turin

Language: English

Topic: Probability and Statistical Research

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: gold

Estimated APC paid: $3,137

Funders: Istituto Nazionale di Alta Matematica "Francesco Severi", European Commission, Ministero dell’Istruzione, dell’Università e della Ricerca, NextGenerationEU