Exploring the state of a stochastic system via stochastic simulations: an interesting inversion problem and the health state function

DOI10.1007/S11009-014-9410-YzbMATH Open1348.60103OpenAlexW1966872136MaRDI QIDQ905232FDOQ905232

Christos H. Skiadas, Charilaos Skiadas

Publication date: 14 January 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9410-y

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zbMATH Keywords

simulationsstochastic differential equationstochastic modelinginverse Gaussianfirst exit time probability density functionhealth state functionhitting time modellife table data

Mathematics Subject Classification ID

Stochastic approximation (62L20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• An improved technique for the simulation of first passage times for diffusion processes
• On the inverse first-passage-time problem for a Wiener process
• Boundary crossing probability for Brownian motion and general boundaries
• First exit densities of Brownian motion through one-sided moving boundaries
• Inverse spectral problem for the Sturm Liouville equation
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• On the First Passage Time Probability Problem
• On an integral equation for first-passage-time probability densities
• On the reconstruction of diffusions from first-exit time distributions
• Second-order approximations to the density, mean and variance of Brownian first-exit times
• Exploring the health state of a population by dynamic modeling methods
• The health state curve and the health state life table: Life expectancy and healthy life expectancy estimates
• Development, simulation, and application of first-exit-time densities to life table data
• Dynamic modelling of life table data

Cited In (1)

• The first exit time stochastic theory applied to estimate the life-time of a complicated system

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