A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions
Methodology
2017-05-03 v2
Abstract
Piecewise-deterministic Markov processes form a general class of non-diffusion stochastic models that involve both deterministic trajectories and random jumps at random times. In this paper, we state a new characterization of the jump rate of such a process with discrete transitions. We deduce from this result a nonparametric technique for estimating this feature of interest. We state the uniform convergence in probability of the estimator. The methodology is illustrated on a numerical example.
Keywords
Cite
@article{arxiv.1606.06130,
title = {A new characterization of the jump rate for piecewise-deterministic Markov processes with discrete transitions},
author = {Romain Azaïs and Alexandre Genadot},
journal= {arXiv preprint arXiv:1606.06130},
year = {2017}
}