Asymptotic Exponentiality of First Exit Times for Recurrent Markov Processes and Applications to Changepoint Detection

Asymptotic Exponentiality of the Distribution of First Exit times for a Class of Markov Processes with Applications to Quickest Change Detection

We consider the first exit time of a nonnegative Harris-recurrent Markov process from the interval [0, A] as A → ∞. We provide an alternative method of proof of asymptotic exponentiality of the first exit time (suitably standardized) that does not rely on embedding in a regeneration process. We show that under certain conditions the moment generating function of a suitably standardized version ...

Pointwise Estimates and Exponential Laws in Metastable Systems via Coupling Methods

We show how coupling techniques can be used in some metastable systems to prove that mean metastable exit times are almost constant as functions of the starting microscopic configuration within a “metastable set”. In the example of the Random Field Curie Weiss model, we show that these ideas can also be used to prove asymptotic exponentiality of normalized metastable escape times.

Asymptotic Behavior of Multivariate Reward Processes with Nonlinear Reward Functions

Asymptotic Analysis of Binary Gas Mixture Separation by Nanometric Tubular Ceramic Membranes: Cocurrent and Countercurrent Flow Patterns

Analytical gas-permeation models for predicting the separation process across  membranes (exit compositions and area requirement) constitutes an important and necessary step in understanding the overall performance of  membrane modules. But, the exact (numerical) solution methods suffer from the complexity of the solution. Therefore, solutions of nonlinear ordinary differential equations th...

Extended Geometric Processes: Semiparametric Estimation and Application to ReliabilityImperfect repair, Markov renewal equation, replacement policy

Lam (2007) introduces a generalization of renewal processes named Geometric processes, where inter-arrival times are independent and identically distributed up to a multiplicative scale parameter, in a geometric fashion. We here envision a more general scaling, not necessar- ily geometric. The corresponding counting process is named Extended Geometric Process (EGP). Semiparametric estimates are...