Hitting times for Multiplicative Growth-collapse Processes
نویسندگان
چکیده
We consider a stochastic process (Xt)t≥0 that grows linearly in time and experiences collapses at times governed by a Poisson process with rate λ. The collapses are modeled by multiplying the process level by a random variable supported on [0, 1). For the hitting time defined as τy = inf{t > 0|Xt = y} we derive power series for the Laplace transform and all moments. We further discuss the asymptotic behavior of the mean of τy as y tends to infinity.
منابع مشابه
Hitting times and the Running Maximum of Markovian Growth-collapse Processes
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