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Teoriya Veroyatnostei i ee Primeneniya, 1969, Volume 14, Issue 4, Pages 735–742
(Mi tvp1517)
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This article is cited in 1 scientific paper (total in 1 paper)
Short Communications
Semiordering of the probabilities of the first passage time for Markov processes
G. I. Kalmykov Moscow
Abstract:
Let $\{\xi(t),\ t\in T\}$ bе a real Markov process. Let $c(t)$ be a real function and $\widehat\tau_\xi(s,c(t))$ $(\tau_\xi(s,c(t)))$ denote the first time, after $s$, of the crossing (the contact) of the curve $x=c(t)$.
Two real Markov processes $\{\xi_1(t),t\in T\}$ and $\{\xi_2(t),t\in T\}$ with conditional probabilities $\mathbf P_{s,x}^{(1)}\{B\}$ and $\mathbf P_{s,x}^{(2)}\{B\}$ being considered, sufficient conditions for the inequality
\begin{gather*}
\mathbf P_{s,x}^{(1)}\{\widehat\tau_{\xi_1}(s,a(t))\le\min(t,\widehat\tau_{\xi_1}(s,b(t))\}\le
\\
\le\mathbf P_{s,x}^{(2)}\{\widehat\tau_{\xi_2}(s,a(t))\le\min(t,\widehat\tau_{\xi_2}(s,b(t))\}
\end{gather*}
are obtained. Here $a(t)$ and $b(t)$ are real functions satisfying $a(t)<x<b(t)$.
The analogous results are obtained for $\tau_{\xi_1}$ and $\tau_{\xi_2}$.
Received: 16.02.1967
Citation:
G. I. Kalmykov, “Semiordering of the probabilities of the first passage time for Markov processes”, Teor. Veroyatnost. i Primenen., 14:4 (1969), 735–742; Theory Probab. Appl., 14:4 (1969), 704–710
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https://www.mathnet.ru/eng/tvp1517 https://www.mathnet.ru/eng/tvp/v14/i4/p735
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