Moments of Markovian growth-collapse processes

2021/03/08 by Nicolas Privault, Privault, Nicolas
Biochemistry, Genetics and Molecular Biology · Business, Management and Accounting · Mathematics · #60G55 #60J22 #60J27 #Advanced Queuing Theory Analysis #Diffusion and Search Dynamics #FOS: Mathematics #Probability (math.PR) #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2103.04644

openalex publication_date 2021/03/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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