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Teoriya Veroyatnostei i ee Primeneniya, 1968, Volume 13, Issue 2, Pages 333–337
(Mi tvp850)
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This article is cited in 81 scientific papers (total in 81 papers)
Short Communications
On the number of boundary out-crossings of a region by a vector stochastic process
Yu. K. Belyaev Moscow
Abstract:
It is shown that under some restrictions (see the conditions $C_\Phi$, $C_\xi$, $C_{\xi\xi}$) the moments of the number of crossing of a set $\Gamma$ with a smooth boundary $S_\Phi=\{\mathbf x\colon\Phi(\mathbf x)=0\}$. $\mathbf x\in R^m$, by a continually differentiable vector stochastic process $\xi_i$ can be found explicitly. For example, the intensity $\mu^+(\Gamma,t)$ of the number of out-crossings of $\Gamma$ from the region $\Phi(x)<0$ at time $t$ is expressed by a surface integral of the first kind:
$$
\mu^+(\Gamma,t)=\int_{x\in\Gamma}\mathbf M\{(\mathbf n_\Phi(\mathbf x)'\xi_t)^+\mid\xi_t'=\mathbf x\}p_t(\mathbf x)\,ds(\mathbf x).
$$
At the end of the paper examples are given, which illustrate advantages of the obtained formulas.
Received: 24.08.1967
Citation:
Yu. K. Belyaev, “On the number of boundary out-crossings of a region by a vector stochastic process”, Teor. Veroyatnost. i Primenen., 13:2 (1968), 333–337; Theory Probab. Appl., 13:2 (1968), 320–324
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