Development, simulation, and application of first-exit-time densities to life table data

DOI10.1080/03610920903140023MaRDI QIDQ3562420zbMATH OpenOpenAlexFDO

Authors Charilaos Skiadas, Christos H. Skiadas

Publication date 21 May 2010

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920903140023

zbMATH Keywords

first exit timefirst-passage-time densityhealth state functionhitting timelife table dataone-sided Brownian exit densitiesstochastic modelingstochastic simulationtangent approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic approximation (62L20) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic models in economics (91B70)

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Cites work

• An asymptotic expansion for one-sided Brownian exit densities
• Approximating the first crossing-time density for a curved boundary
• Asymptotic behaviour of ornstein‐uhlenbeck first‐passage‐time density through periodic boundaries
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Dynamic modelling of life table data
• First exit densities of Brownian motion through one-sided moving boundaries
• scientific article; zbMATH DE number 194933 (Why is no real title available?)
• scientific article; zbMATH DE number 3045589 (Why is no real title available?)
• scientific article; zbMATH DE number 3059214 (Why is no real title available?)
• Inverse Statistical Variates
• On the First Passage Time Probability Problem
• On the Inverse Gaussian Distribution Function
• Second-order approximations to the density, mean and variance of Brownian first-exit times
• The first-passage density of the Brownian motion process to a curved boundary
• The Inverse Gaussian Distribution as a Lifetime Model
• The tangent approximation to one-sided Brownian exit densities

Cited in

(7)

• The first exit time stochastic theory applied to estimate the life-time of a complicated system
• The health state curve and the health state life table: life expectancy and healthy life expectancy estimates
• Modeling lifetimes by a stochastic process hitting a critical point
• Dynamic modelling of life table data
• Life Tables with Covariates: Dynamic Model for Nonlinear Analysis of Longitudinal Data
• Randomness accelerates the dynamic clearing process of the COVID-19 outbreaks in China
• Exploring the state of a stochastic system via stochastic simulations: an interesting inversion problem and the health state function

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