Ítem
Acceso Abierto
Piecewise linear process with renewal starting points
Título de la revista
Autores
Ratanov N.
Archivos
Fecha
2017
Directores
ISSN de la revista
Título del volumen
Editor
Elsevier B.V.
Citations
Métricas alternativas
Resumen
Abstract
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.
Palabras clave
Keywords
Continuous-time homogeneous Markov chain , First passage time , Piecewise linear process , Renewal process
Citations
