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On the time of the first level achievement for the ascending-descending process
V. I. Lotov Sobolev Institute of Mathematics SB RAS, pr. Acad. Koptyuga 4, Novosibirsk 630090, Russia
Abstract:
We consider a stochastic process whose trajectories are characterized by alternate linear growth and linear decrease during time intervals of random length; the process can also keep its value during random intervals of time between growth and decrease. This process can be considered as a mathematical model of accumulation and consumption of materials, when random periods of time are combined for accumulation, spending and interruptions in operation. We study mean value $\mathbf{E} N$ of the first achievement time a fixed level for trajectories of this process, including finding exact formulas for $\mathbf{E} N$, estimating from above with an inequality and obtaining the asymptotics of $\mathbf{E} N$ under an infinitely receding level.
Keywords:
stochastic inventory control models, stochastic process, random walk, first passage time.
Received: 21.02.2023 Revised: 01.03.2023 Accepted: 27.04.2023
Citation:
V. I. Lotov, “On the time of the first level achievement for the ascending-descending process”, Sib. Zh. Ind. Mat., 26:3 (2023), 86–94; J. Appl. Industr. Math., 17:3 (2023), 592–599
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https://www.mathnet.ru/eng/sjim1249 https://www.mathnet.ru/eng/sjim/v26/i3/p86
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Abstract page: | 45 | Full-text PDF : | 12 | References: | 15 | First page: | 5 |
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