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Kendall's identity for the first crossing time revisited

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Kendall's identity for the first crossing time revisited
2.	Creator	Author's name, affiliation, country	Konstantin Borovkov; University of Melbourne
2.	Creator	Author's name, affiliation, country	Zaeem Burq; University of Melbourne
3.	Subject	Discipline(s)	Mathematics
3.	Subject	Keyword(s)	Skip-free Lévy process, first crossing time, change of measure.
3.	Subject	Subject classification	60G51
4.	Description	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.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2001-08-03
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/1038
10.	Identifier	Digital Object Identifier	10.1214/ECP.v6-1038
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 6
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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