On a stochastic process with switchings Full article
| Journal |
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports)
, E-ISSN: 1813-3304 |
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| Output data | Year: 2019, Volume: 16, Pages: 1531-1546 Pages count : 16 DOI: 10.33048/semi.2019.16.104 | ||||||
| Tags | oscillating stochastic process, stationary process with independent increments, regenerative process, stationary distribution, factorization method. | ||||||
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Abstract:
We study a stochastic process X(t) with switchings between
two stationary processes with independent increments while achieving
regulatory barriers.We obtain the dual Laplace–Stieltjes transform of the
distribution of the process X(t) and its limit as t ! 1. Under Cramer’s
type conditions, the asymptotic representations of these transforms are
obtained when the width of the regulating strip is growing. We use
known results for regenerative processes and factorization technique for
the study in boundary crossing problems for stochastic processes.
Cite:
Лотов В.И.
, Xodjibayev V.R.
On a stochastic process with switchings
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2019. Т.16. С.1531-1546. DOI: 10.33048/semi.2019.16.104 WOS Scopus OpenAlex
On a stochastic process with switchings
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2019. Т.16. С.1531-1546. DOI: 10.33048/semi.2019.16.104 WOS Scopus OpenAlex
Dates:
| Submitted: | Jun 20, 2019 |
| Published print: | Oct 21, 2019 |
Identifiers:
| Web of science: | WOS:000491071700002 |
| Scopus: | 2-s2.0-85081265916 |
| OpenAlex: | W3015433849 |