Closed-form solutions for the probability distribution of time-variant maximal value processes for some classes of Markov processes

DOI10.1016/j.cnsns.2021.105803zbMath1481.60142OpenAlexW3135032925MaRDI QIDQ2025535

Jianbing Chen, Meng-Ze Lyu, Jin-Min Wang

Publication date: 14 May 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2021.105803

zbMATH Keywords

closed-form solutionMarkov processextreme value distributionprobability evolution integral equationtime-variant maximal value process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Continuous-time Markov processes on general state spaces (60J25) Jump processes on general state spaces (60J76)

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