V. I. Lotov, E. M. Okhapkina, “On the stationary distribution of a stochastic process”, Sib. J. Pure and Appl. Math., 2017, Volume 17, Issue 1,Pages <nobr>36

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On the stationary distribution of a stochastic process

V. I. Lotov^ab, E. M. Okhapkina^b

^a Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences, Novosibirsk
^b Novosibirsk State University

Abstract: We find a stationary distribution of a stochastic process with delay at the origin. The trajectories of the process have linear growth and random jumps at random times. We use known results for regenerative processes and factorization technique for the study in boundary crossing problems for random walks.

Keywords: regenerative process, stationary distribution, factorization method.

UDC: 519.21

Received: 10.06.2016

DOI: 10.17377/PAM.2017.17.103