On the first passage times for Markov processes with monotone convex transition kernels

In this paper we study the first passage time for a damage process to exceed a given threshold or for the maximal increment of this process to pass a certain critical value. Conditions under which this first passage time possesses the NBU, the IFRA or the IFR properties are studied. An application to pure jump shock models is also discussed.

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Year of publication:	1995
Authors:	Li, Haijun ; Shaked, Moshe
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 58.1995, 2, p. 205-216
Publisher:	Elsevier
Subject:	60K10 Stochastic monotonicity Monotone and convex transition kernels First passage times \| NBU IFRA IFR Shock models Reliability theory

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873798