Moments of Markovian growth-collapse processes
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 moment expressions of all orders. In co...
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| Formatua: | Journal Article |
| Hizkuntza: | English |
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2022
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| Sarrera elektronikoa: | https://hdl.handle.net/10356/163719 |