Moments of Markovian growth-collapse processes
Probability
2021-03-09 v1
Abstract
We apply general moment identities for Poisson stochastic integrals with random integrands to the computation of the moments of Markovian growth-collapse processes. This extends existing formulas for mean and variance available in the literature to closed form moments expressions of all orders. In comparison with other methods based on differential equations, our approach yields polynomial expressions in the time parameter. We also treat the case of the associated embedded chain.
Keywords
Cite
@article{arxiv.2103.04644,
title = {Moments of Markovian growth-collapse processes},
author = {Nicolas Privault},
journal= {arXiv preprint arXiv:2103.04644},
year = {2021}
}