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math.PR2022
Optimal stopping of the stable process with state-dependent killing
K. van Schaik, A. R. Watson, X. Xu
We describe the solution of an optimal stopping problem for a stable Lévy process killed at state-dependent rate, which can be seen as a model for bankruptcy. The killing rate is c…
math.PR2022★ 1 cited
A quasi-stationary approach to the long-term asymptotics of the growth-fragmentation equation
Denis Villemonais, Alexander Watson
In a growth-fragmentation system, cells grow in size slowly and split apart at random. Typically, the number of cells in the system grows exponentially and the distribution of the…