Relative extreme values and extremum-times of jump process: Upward type

Abstract

Relative extreme values are defined by the supremum and minimum of a general jump process before its first time quitting from some state set, and relative extremum-times are defined by the first times reaching relative extreme values. The main objective of this paper is to find out the exact distributions and moments of them as the maximum of the set is up or equal to the process initial state. As especial cases, these results are applied to a general birth-death process and generalized birth-death processes.