A continuous-time Ehrenfest model with catastrophes and its jump-diffusion approximation

DOI10.1007/S10955-015-1336-4zbMATH Open1329.60302arXiv2103.10984OpenAlexW3137993256WikidataQ63434408 ScholiaQ63434408MaRDI QIDQ892405FDOQ892405

Authors: Virginia Giorno, Amelia G. Nobile, Selvamuthu Dharmaraja, Antonio Di Crescenzo 

Publication date: 19 November 2015

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We consider a continuous-time Ehrenfest model defined over the integers from -N to N, and subject to catastrophes occurring at constant rate. The effect of each catastrophe instantaneously resets the process to state 0. We investigate both the transient and steady-state probabilities of the above model. Further, the first passage time through state 0 is discussed. We perform a jump-diffusion approximation of the above model, which leads to the Ornstein-Uhlenbeck process with catastrophes. The underlying jump-diffusion process is finally studied, with special attention to the symmetric case arising when the Ehrenfest model has equal upward and downward transition rates.

Full work available at URL: https://arxiv.org/abs/2103.10984

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zbMATH Keywords

Ornstein-Uhlenbeck processfirst passage timesteady-state probabilitiestransient probabilitiescontinuous-time Ehrenfest modeljump-diffusion approximation

Mathematics Subject Classification ID

Diffusion processes (60J60) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited In (22)

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