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HITTING TIMES FOR MULTIPLICATIVE GROWTH-COLLAPSE PROCESSES (2007)
| Content Provider | CiteSeerX |
|---|---|
| Author | Löpker, Andreas H. Leeuwaarden, Johan S. H. Van |
| Abstract | Abstract: 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. 1. |
| File Format | |
| Publisher Date | 2007-01-01 |
| Access Restriction | Open |
| Subject Keyword | Hitting Time Multiplicative Growth-collapse Process Process Level Hitting Time Experience Collapse Poisson Process Stochastic Process Laplace Transform Asymptotic Behavior Power Series |
| Content Type | Text |
| Resource Type | Article |
