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Integro‐differential Equations Linked to Compound Birth Processes with Infinitely Divisible Addends by Beghin, Luisa; Gajda, Janusz; Maheshwari, Aditya is a Mathematics article available to read on EtoBox.

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Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an independent counting process. We consider here a cumulative model where, instead of a renewal process (as in the Poisson case), a linear birth (or Yule) process is used. This corresponds to the assumption that the frequency of “damage” increments accelerates according to the increasing number of “damages”. We start from the partial differential equation satisfied by its transition density, in the case of exponentially distributed addends, and then we generalize it by introducing a space derivative of convolution type (i.e., defined in terms of the Laplace exponent of a subordinator). Then we are concerned with the solution of integro‐differential equations, under proper initial conditions, which, in a special case, reduce to a fractional one. Correspondingly, we analyze the related cumulative jump processes under a general infinitely divisible distribution of the (positive) jumps. Some special cases (such as the stable, tempered stable, gamma, and Poiss

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Author

Beghin, Luisa; Gajda, Janusz; Maheshwari, Aditya

Publisher

John Wiley and Sons; Wiley (John Wiley & Sons); John Wiley & Sons Inc.; Wiley (ISSN 0170-4214)

Published

2020

Language

EN

Field

Mathematics (Physical Sciences)