重新考察了Ornstein-Uhlenbeck过程的第一通道区域

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastic Analysis and Applications Pub Date : 2021-12-28 DOI:10.1080/07362994.2021.2018335

M. Abundo

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引用次数: 4

摘要

摘要从Ornstein-Uhlenbeck过程开始，我们着重讨论了X（t）第一次过零时间及其第一过零面积的一些结果。我们研究了第一次通过时间和第一次通过面积的单个和联合力矩及其行为，此外，我们还研究了直到FPT的时间平均值X（t）的期望值，以及

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The first-passage area of Ornstein-Uhlenbeck process revisited

Abstract For Ornstein-Uhlenbeck process starting from we highlight some results about the first-passage time of X(t) through zero and its first-passage area, that is the random area swept out by till its first-passage through zero. We study single and joint moments of the first-passage time and first-passage area, and their behaviors, as and moreover, we investigate the expected value of the time average of X(t) till the FPT, and the maximum displacement of

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来源期刊

Stochastic Analysis and Applications 数学-统计学与概率论

CiteScore

2.70

自引率

7.70%

发文量

审稿时长

6-12 weeks

期刊介绍： Stochastic Analysis and Applications presents the latest innovations in the field of stochastic theory and its practical applications, as well as the full range of related approaches to analyzing systems under random excitation. In addition, it is the only publication that offers the broad, detailed coverage necessary for the interfield and intrafield fertilization of new concepts and ideas, providing the scientific community with a unique and highly useful service.