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 Electronic Communications in Probability > Vol. 6 (2001) > Paper 9 open journal systems 


Kendall's identity for the first crossing time revisited

Konstantin Borovkov, University of Melbourne
Zaeem Burq, University of Melbourne


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.


Full text: PDF

Pages: 91-94

Published on: August 3, 2001
Bibliography
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Electronic Communications in Probability. ISSN: 1083-589X