On the distribution of the trajectory maximum of 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: 2020, Volume: 17, Pages: 807-813 Pages count : 7 DOI: 10.33048/semi.2020.17.058 | ||||||
| Tags | stochastic process with switchings, boundary crossing problems, regenerative process, limit theorems. | ||||||
| Authors |
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Abstract:
We study a stochastic process with switchings between
two stationary processes with independent increments while achieving
regulatory barriers. The regulation is intended to keep under control the
range of trajectories. At the same time the structure of the process allows
the trajectories stay some time outside the band adjustments. The paper
establishes limit theorem for the distribution of the maximum possible
excess of the upper regulatory barrier.
Cite:
Lotov V.I.
, Xodjibayev V.R.
On the distribution of the trajectory maximum of a stochastic process with switchings
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2020. Т.17. С.807-813. DOI: 10.33048/semi.2020.17.058 WOS Scopus OpenAlex
On the distribution of the trajectory maximum of a stochastic process with switchings
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2020. Т.17. С.807-813. DOI: 10.33048/semi.2020.17.058 WOS Scopus OpenAlex
Dates:
| Submitted: | Mar 31, 2020 |
| Published print: | Jun 17, 2020 |
Identifiers:
| Web of science: | WOS:000543739500001 |
| Scopus: | 2-s2.0-85089239825 |
| OpenAlex: | W3036970794 |
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