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Asymptotic Results for the Absorption Time of Telegraph Processes with Elastic Boundary at the Origin
Methodology and Computing in Applied Probability ( IF 0.9 ) Pub Date : 2020-06-28 , DOI: 10.1007/s11009-020-09804-y
Claudio Macci , Barbara Martinucci , Enrica Pirozzi

We consider a telegraph process with elastic boundary at the origin studied recently in the literature (see e.g. Di Crescenzo et al. (Methodol Comput Appl Probab 20:333–352 2018)). It is a particular random motion with finite velocity which starts at x ≥ 0, and its dynamics is determined by upward and downward switching rates λ and μ, with λ > μ, and an absorption probability (at the origin) α ∈ (0,1]. Our aim is to study the asymptotic behavior of the absorption time at the origin with respect to two different scalings: \(x\to \infty \) in the first case; \(\mu \to \infty \), with λμ for some β > 1 and x > 0, in the second case. We prove several large and moderate deviation results. We also present numerical estimates of β based on an asymptotic Normality result for the case of the second scaling.



中文翻译:

原点具有弹性边界的电报过程的吸收时间的渐近结果

我们考虑了文献中最近研究的,起源处具有弹性边界的电报过程(例如,参见Di Crescenzo等人(Methodol Comput Appl Probab 20:333–352 2018))。它是具有有限速度,其开始于所述特定的随机运动X ≥0,并且它的动力学是由向上和向下的开关速率确定λμ,与λ > μ和吸收概率(在原点)α∈(0, 1]。我们的目的是针对两种不同的标度研究原点处吸收时间的渐近行为:第一种情况为\(x \ to \ infty \) ; \(\ mu \ to \ infty \),用λμ在第二种情况下,对于某些β> 1和x > 0的情况。我们证明了几个大的和中等的偏差结果。对于第二缩放的情况,我们还基于渐近正态性结果给出了β的数值估计。

更新日期:2020-06-28
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