On approximations for the distribution of first level crossing time

Abstract

We investigate performance of approximations put forth in \citeNP{[Malinovskii 2017a]} and \citeNP{[Malinovskii 2017b]} for the distribution of the time of first level $u$ crossing by the random process $\homV{s}-cs$, $s>0$, where $\homV{s}$ is compound renewal process. In the case of Exponential inter-renewal and jump size random variables, we compare the approximations with exact and with simulation results. In a few other cases including Erlang and Pareto inter-renewal and jump size random variables, where exact results are absent, we compare the approximations with simulation results.