On the Time of the First Achievement of a Level by an Ascending–Descending Process | Sciact - Система учета научной деятельности ИМ СО РАН

On the Time of the First Achievement of a Level by an Ascending–Descending Process Научная публикация

Журнал

Journal of Applied and Industrial Mathematics
ISSN: 1990-4789 , E-ISSN: 1990-4797

Вых. Данные

Год: 2023, Том: 17, Номер: 3, Страницы: 592-599 Страниц : 8 DOI: 10.1134/s1990478923030122

Ключевые слова

stochastic inventory management model, stochastic process, random walk, first passage time

Авторы

Lotov V.I. ¹

Организации

1	Sobolev Institute of Mathematics, Siberian Branch, Russian Academy of Sciences

Информация о финансировании (1)

Институт математики им. С.Л. Соболева СО РАН

FWNF-2022-0010

We consider a stochastic process whose trajectories are characterized by alternate linear growth and linear decrease over time intervals of random length, while the process can also maintain its value unchanged for random periods of time between growth and decrease. This process can be considered as a mathematical model of accumulation and consumption of materials, where random periods of time for accumulation, consumption, and interruptions in operation are combined. We study the mean value EN of the time of first achievement of a fixed level by trajectories of this process, including finding exact formulas for EN, producing an upper bound in the form of an inequality, and obtaining the asymptotics of EN under the conditions of an infinitely receding level.

Lotov V.I.
On the Time of the First Achievement of a Level by an Ascending–Descending Process
Journal of Applied and Industrial Mathematics. 2023. V.17. N3. P.592-599. DOI: 10.1134/s1990478923030122 Scopus РИНЦ OpenAlex

Лотов В.И.
О времени первого достижения уровня для процесса возрастания-убывания
Сибирский журнал индустриальной математики. 2023. Т.26. №3. С.86–94. DOI: 10.33048/SIBJIM.2023.26.307 РИНЦ

Поступила в редакцию:	21 февр. 2023 г.
Принята к публикации:	27 апр. 2023 г.
Опубликована в печати:	3 нояб. 2023 г.
Опубликована online:	3 нояб. 2023 г.

Scopus:	2-s2.0-85175786843
РИНЦ:	63823528
OpenAlex:	W4388337374

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