Estimating the Probability of an Event Related to the Moment When a Random Process First Reaches a Given Level


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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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