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.
Citation
Konstantin Borovkov. Zaeem Burq. "Kendall's identity for the first crossing time revisited." Electron. Commun. Probab. 6 91 - 94, 2001. https://doi.org/10.1214/ECP.v6-1038
Information
