Approximate technique for calculating average time until a given high level is first crossed by a Gaussian random process

DOI10.1134/S1064230708060026zbMATH Open1173.93036OpenAlexW2085047970MaRDI QIDQ734140FDOQ734140

Authors: V. A. Yaroshevskii, Alexander Bobylev 

Publication date: 19 October 2009

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064230708060026

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zbMATH Keywords

Gaussian random processapproximate estimationcalculating the average time

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Cites Work

• Extremes and related properties of random sequences and processes

Cited In (1)

• The probability of first reaching a desired level by a random process on a given interval

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