Estimates Obtained Through the Study of Certain Less-Known Parameters of Excursions in Differentiable Random Processes

6.1 Distribution Density of Time Before the Next Point Where the Set Upper or Lower Boundary Is Reached by a Differentiable Random Process

Probability characteristics of interval between a randomly chosen time moment and the next moment when the random process reaches the predetermined boundary constitute valuable information for the users of many important applications. The authors of Refs 7 and 8, for example, pointed out that the problem of finding the probability distribution function (or at least the mean and variance) which would accurately describe the distribution of the above-mentioned interval duration has only been ...

Get Applications of Random Process Excursion Analysis now with the O’Reilly learning platform.

O’Reilly members experience live online training, plus books, videos, and digital content from nearly 200 publishers.