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

Authors 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

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)

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Cites work

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

Cited in

(1)

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

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