Some diffusion processes in the presence of catastrophes of particular interest in biological models and in queueing systems are considered. In particular, for the Wiener and the Ornstein-Uhlenbeck processes subject to catastrophes closed form solutions for transition and steady state densities are derived and some numerical evaluations are performed.

Diffusion processes subject to catastrophes (Extended Abstract)

GIORNO, Virginia;NOBILE, Amelia Giuseppina
2009-01-01

Abstract

Some diffusion processes in the presence of catastrophes of particular interest in biological models and in queueing systems are considered. In particular, for the Wiener and the Ornstein-Uhlenbeck processes subject to catastrophes closed form solutions for transition and steady state densities are derived and some numerical evaluations are performed.
2009
9788469185025
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/2284472
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