On a piece-wise deterministic Markov process model (Q5952112): Difference between revisions

A piecewise deterministic Markov process having jumps of i.i.d. sizes with a constant intensity and decaying at a constant rate is considered. Necessary and sufficient conditions for the process to be ergodic are found and its stationary distribution is found in explicit form. The Laplace transform of the first crossing time of a fixed barrier by the process is shown to satisfy a Fredholm equation of second kind. Solution to this equation is given by exponentially fast converging Neumann series and the convergence rate of the series is estimated.