Email this article Estimating the Probability of an Event Related to the Moment When a Random Process First Reaches a Given Level
- Authors: Semakov S.L.1,2,3, Semakov I.S.2
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Affiliations:
- Moscow Institute of Physics and Technology
- Moscow Aviation Institute
- Financial University
- Issue: Vol 79, No 4 (2018)
- Pages: 632-640
- Section: Stochastic Systems
- URL: https://journal-vniispk.ru/0005-1179/article/view/150856
- DOI: https://doi.org/10.1134/S0005117918040057
- ID: 150856
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Abstract
We estimate the probability of the event that a continuous random process first reaches a given level occurs at a given interval of the independent variable. We specialize our results for a Gaussian process and give sample numerical estimates.
About the authors
S. L. Semakov
Moscow Institute of Physics and Technology; Moscow Aviation Institute; Financial University
Author for correspondence.
Email: slsemakov@yandex.ru
Russian Federation, Moscow; Moscow; Moscow
I. S. Semakov
Moscow Aviation Institute
Email: slsemakov@yandex.ru
Russian Federation, Moscow
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