Estimating the Probability of an Event Related to the Moment When a Random Process First Reaches a Given Level
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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.
Keywordsrandom process probability of reaching a level first moment of reaching a level
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- 1.Semakov, S.L., Vybrosy sluchainykh protsessov: prilozheniya v aviatsii (Outliers of Random Processes: Applications in Aviation), Moscow: Nauka, 2005.Google Scholar