On the first-visit-time problem for birth and death processes with catastrophes

arXivmath/0307206MaRDI QIDQ6473019FDOQ6473019

Antonio Di Crescenzo, L. M. Ricciardi, Amelia G. Nobile, Virginia Giorno

Publication date: 15 July 2003

Abstract: For a birth-death process subject to catastrophes, defined on the state-space $S=r,r+1,r+2,\mathrm{...}$, with $r$ a positive integer or zero, the first-visit time to a state $kinS$ is considered and the Laplace transform of its probability density function is determined, use of which is then made to obtain mean and variance. The Laplace transform of the probability density function of the first effective catastrophe occurrence time and its expected value are also obtained. Some extensions to time-non-homogeneous processes are then provided. Finally, certain additional results concerning the determination of the steady-state distribution and the representation of the transition probabilities are worked out, while some applications to particular birth-death processes are shown in the Appendix.

Mathematics Subject Classification ID

Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Continuous-time Markov processes on discrete state spaces (60J27)

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