Moments of Markovian growth-collapse processes

• Main Author: Privault, Nicolas
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Science::Mathematics; Growth–Collapse Processes; Poisson Shot Noise
• Online Access: https://hdl.handle.net/10356/163719
• Institution: Nanyang Technological University

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...