We consider a telegraph process with elastic boundary at the origin studied recently in the literature (see e.g. Di Crescenzo et al. (Methodol Comput Appl Probab 20:333–352 2018)). It is a particular random motion with finite velocity which starts at x ≥ 0, and its dynamics is determined by upward and downward switching rates λ and μ, with λ>μ, and an absorption probability (at the origin) α ∈ (0, 1]. Our aim is to study the asymptotic behavior of the absorption time at the origin with respect to two different scalings: x → ∞ in the first case; μ → ∞, with λ = βμ for some β > 1 and x > 0, in the second case. We prove several large and moderate deviation results. We also present numerical estimates of β based on an asymptotic Normality result for the case of the second scaling.
Asymptotic Results for the Absorption Time of Telegraph Processes with Elastic Boundary at the Origin
Martinucci, Barbara;
2020-01-01
Abstract
We consider a telegraph process with elastic boundary at the origin studied recently in the literature (see e.g. Di Crescenzo et al. (Methodol Comput Appl Probab 20:333–352 2018)). It is a particular random motion with finite velocity which starts at x ≥ 0, and its dynamics is determined by upward and downward switching rates λ and μ, with λ>μ, and an absorption probability (at the origin) α ∈ (0, 1]. Our aim is to study the asymptotic behavior of the absorption time at the origin with respect to two different scalings: x → ∞ in the first case; μ → ∞, with λ = βμ for some β > 1 and x > 0, in the second case. We prove several large and moderate deviation results. We also present numerical estimates of β based on an asymptotic Normality result for the case of the second scaling.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
