scientific article; zbMATH DE number 2187195

MaRDI QIDQ3025404zbMATH OpenFDO

Authors Yousef Al-Zalzalah, Basel M. Al-Eideh

Publication date 14 July 2005

zbMATH Keywords

general birth-death processjoint distributions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Review text

Let \(X(t)\), \(t\geq 0\), be a birth-death diffusion process satisfying the backward Kolmogorov equation \[ \frac{df}{dt}=ax\frac{df}{dx}+\beta x^\alpha\frac{d^2f}{dx^2} \] where \(f(y;x,t)=P(y<X(t)<y+dy\mid X(0)=x).\) Let \(T_x\) be the first moment when the process hits the origin and \(W_x=\int_0^{T_x}X(t)\,dt.\) The authors find the density of the distribution of \(W_x\) and the asymptotic regression of \(T_x\) on \(W_x\) as \(x\to\infty\).

Recommendations

• First-passage time moment approximation for the birth-death diffusion process to a moving linear barrier
• On the asymptotic behaviour of first passage times for diffusions
• Joint distributions of random variables and their integrals for certain birth-death and diffusion processes
• scientific article; zbMATH DE number 1129546
• Exponential trends of first-passage-time densities for a class of diffusion processes with steady-state distribution

Cited in

(4)

• The first emptiness time of an infinite reservior with inputs forming a birth-death diffusion process and an output process
• First-passage time moment approximation for the birth-death diffusion process to a moving linear barrier
• scientific article; zbMATH DE number 3956159 (Why is no real title available?)
• Joint distributions of random variables and their integrals for certain birth-death and diffusion processes

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3025404)