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ON GROWTH-COLLAPSE PROCESSES WITH STATIONARY STRUCTURE AND THEIR SHOT-NOISE COUNTERPARTS
Journal of Applied Probability
Vol. 46, No. 2 (JUNE 2009), pp. 363-371
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/25662430
Page Count: 9
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In this paper we generalize existing results for the steady-state distribution of growth-collapse processes. We begin with a stationary setup with some relatively general growth process and observe that, under certain expected conditions, point- and time-stationary versions of the processes exist as well as a limiting distribution for these processes which is independent of initial conditions and necessarily has the marginal distribution of the stationary version. We then specialize to the cases where an independent and identically distributed (i.i.d.) structure holds and where the growth process is a nondecreasing Lévy process, and in particular linear, and the times between collapses form an i.i.d. sequence. Known results can be seen as special cases, for example, when the inter-collapse times form a Poisson process or when the collapse ratio is deterministic. Finally, we comment on the relation between these processes and shot-noise type processes, and observe that, under certain conditions, the steady-state distribution of one may be directly inferred from the other.
Journal of Applied Probability © 2009 Applied Probability Trust