Review of Some Functionals of Compound Poisson Processes and Related Stopping Times

摘要

The paper reviews recent results of D. Perry, W. Stadje and S. Zacks, on functionals of stopping times and the associated compound Poisson process with lower and upper linear boundaries. In particular, formulae of these functionals are explicitly developed for the total expected discounted cost of discarded service in an M/G/1 queue with restricted accessibility; for the expected total discounted waiting cost in an M/G/1 restricted queue; for the shortage, holding and clearing costs in an inventory system with continuous input; for the risk in sequential estimation and for the transform of the busy period when the upper boundary is random.