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

DOI10.1007/s11009-014-9410-yzbMath1348.60103OpenAlexW1966872136MaRDI QIDQ905232

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

stochastic differential equationstochastic modelingsimulationsinverse Gaussianfirst exit time probability density functionhealth state functionhitting time modellife table data

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic approximation (62L20) 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)

Related Items (1)

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

Cites Work

• On the inverse first-passage-time problem for a Wiener process
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• On an integral equation for first-passage-time probability densities
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• First exit densities of Brownian motion through one-sided moving boundaries
• Boundary crossing probability for Brownian motion and general boundaries
• An improved technique for the simulation of first passage times for diffusion processes
• Inverse spectral problem for the Sturm Liouville equation
• On the reconstruction of diffusions from first-exit time distributions
• Dynamic modelling of life table data
• On the First Passage Time Probability Problem

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