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Document type:
Zeitungsartikel 
Author(s):
Behme, A., Klüppelberg, C., and Reinert, G. 
Title:
Hitting probabilities for compound Poisson processes in a bipartite network 
Abstract:
This paper studies hitting probabilies of a constant barrier for single and multiple components of a multivariate compound Poisson process. The components of the process are allowed to be dependent, with the dependency structure of the components induced by a random bipartite network. In analogy with the non-network scenario, a network Pollaczek-Khintchine parameter P is introduced. This random parameter, which depends on the bipartite network, is crucial for the hitting probabilities. Under c...    »
 
Keywords:
bipartite network, Cramér-Lundberg bound, exponential jump distribution, first passage probability, hitting probability, load balancing network, multivariate compound Poisson process, multivariate ruin theory, Poisson approximation, Pollaczek-Khintchine formula, queueing theory, risk balancing network. 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Preprint 
Year:
2018 
Year / month:
2018-03 
Quarter:
1. Quartal 
Month:
Mar 
Language:
en 
WWW:
_blank 
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text