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Ruin problem for an inhomogeneous semicontinuous integer-valued process
Authors:D V Gusak
Abstract:For a process ξ(t = ξ1(t)+χ(t), t≥0, ξ(0) = 0, inhomogeneous with respect to time, we investigate the ruin problem associated with the corresponding random walk in a finite interval, (here, ξ1 (t) is a homogeneous Poisson process with positive integer-valued jumps and χ(t) is an inhomogeneous lower-semicontinuous process with integer-valued jumps ξ n ≥-1).
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