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Kendall's identity for the first crossing time revisited

   
@article{ECP1038,
	author = {Konstantin Borovkov and Zaeem Burq},
	title = {Kendall's identity for the first crossing time revisited},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {6},
	year = {2001},
	keywords = {Skip-free Lévy process, first crossing time, change of measure.},
	abstract = {We give a new relatively compact proof of the famous identity for the distribution of the first hitting time of a linear boundary by a skip-free process with stationary independent increments. The proof uses martingale identities and change of measure.},
	pages = {no. 9, 91-94},
	issn = {1083-589X},
	doi = {10.1214/ECP.v6-1038},    
        url = {http://ecp.ejpecp.org/article/view/1038}}