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

Haijun Li and Moshe Shaked

Stochastic Processes and their Applications, 1995, vol. 58, issue 2, 205-216

Abstract: 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.

Keywords: 60K10 Stochastic monotonicity Monotone and convex transition kernels First passage times; NBU IFRA IFR Shock models Reliability theory (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (2)

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