S. L. Semakov, I. S. Semakov, “Estimating the probability of an event related to the moment when a random process first reaches a given level”, Avtomat. i Telemekh., 2018, Issue 4,Pages <nobr>65

This article is cited in 6 papers

Stochastic Systems

Estimating the probability of an event related to the moment when a random process first reaches a given level

S. L. Semakov^abc, I. S. Semakov^b

^a Moscow Institute of Physics and Technology, Moscow, Russia
^b Moscow Aviation Institute, Moscow, Russia
^c Financial University, Moscow, Russia

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.

Keywords: random process, probability of reaching a level, first moment of reaching a level.

Presented by the member of Editorial Board: E. Ya. Rubinovich

Received: 22.08.2017