On a piece-wise deterministic Markov process model

DOI10.1016/S0167-7152(01)00074-8MaRDI QIDQ5952112zbMATH OpenFDO

Authors K. Borovkov, A. Novikov

Publication date 15 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(01)00074-8

zbMATH Keywords

first passage timesFredholm equationLaplace transformMarkov jump processes

Mathematics Subject Classification ID

Stochastic processes (60G99) Continuous-time Markov processes on general state spaces (60J25)

Review text

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.

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Cited in

(13)

• A finite state Markov model with continuous time parameter for physical and chemical cutting processes
• Piecewise deterministic Markov process model for flexible manufacturing systems with preventive maintenance
• Stability in the first approximation of random-structure diffusion systems with aftereffect and external Markov switchings
• TCP and iso-stationary transformations
• Characterization of the marginal distributions of Markov processes used in dynamic reliability
• A class of piecewise deterministic Markov processes
• Stationary distributions for piecewise-deterministic Markov processes
• Analysis Of Upwind Method For Piecewise Deterministic Markov Processes
• On level crossings for a general class of piecewise-deterministic Markov processes
• Stability and Ergodicity of Piecewise Deterministic Markov Processes
• On Maximal Inequalities for Ornstein--Uhlenbeck Processes with Jumps
• PIGGYBACKING THRESHOLD PROCESSES WITH A FINITE STATE MARKOV CHAIN
• On exit times of Levy-driven Ornstein-Uhlenbeck processes

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