First Crossing a Random Process
A rendezvous time is a time at which two different stochastic processes intersect (meet). In this section we discuss the first such rendezvous time of a Brownian motion and an independent compound Poisson process. The reader is referred to Perry et al. (2004) and Che and Dassios (2013).
- Perry, D., Stadje, W. and Zacks, S. (2005). A two-sided first-exit problem for compound Poisson process with a random upper boundary. Meth. Comput. Appl. Prob. 7:51–62. Google Scholar