Some Exact Results on Lindley Process with Laplace Jumps

Some Exact Results on Lindley Process with Laplace Jumps

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 <inline-formula><math xmlns="http://www.w3.org/1998/Math...

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Bibliographic Details
Main Authors: Emanuele Lucrezia, Laura Sacerdote, Cristina Zucca
Format: Article
Language:English
Published: MDPI AG 2025-04-01
Series:Mathematics
Subjects:
Lindley process
random walk
Laplace distribution
first exit time
CUSUM
Online Access:https://www.mdpi.com/2227-7390/13/7/1166
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