Piecewise linear process with renewal starting points
This paper concerns a Markovian piecewise linear process, based on a continuous-time Markov chain with a finite state space. The process describes the movement of a particle that takes a new linear trend starting from a new random point (with state-dependent distribution) after each trend switch. Th...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2017
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/23332
- Acceso en línea:
- https://doi.org/10.1016/j.spl.2017.08.010
https://repository.urosario.edu.co/handle/10336/23332
- Palabra clave:
- Continuous-time homogeneous Markov chain
First passage time
Piecewise linear process
Renewal process
- Rights
- License
- Abierto (Texto Completo)
| Summary: | This paper concerns a Markovian piecewise linear process, based on a continuous-time Markov chain with a finite state space. The process describes the movement of a particle that takes a new linear trend starting from a new random point (with state-dependent distribution) after each trend switch. The distribution of particle's position is derived in a closed form. In some special cases the distributions of the level passage times are provided explicitly. © 2017 Elsevier B.V. |
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