MEAN OF A FIRST-PASSAGE TIME FOR A TWO-DIMENSIONAL DIFFUSION PROCESS

被引：0

作者：

Lefebvre, Mario ^{[1
]}

机构：

[1] Polytech Montreal, Dept Math & Ind Engn, CP 6079,Succursale Ctr Ville, Montreal, PQ H3C 3A7, Canada

来源：

REVUE ROUMAINE DE MATHEMATIQUES PURES ET APPLIQUEES | 2020年 / 65卷 / 01期

基金：

加拿大自然科学与工程研究理事会;

关键词：

wear process; Kolmogorov backward equation; similarity solution; Brownian motion;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Let X (t) denote the wear of a machine and Y(t) the number of items it produces per unit time. A system of stochastic differential equations is considered for the vector process (X (t), Y (t)). The aim is to find the average time it takes the two-dimensional diffusion process to hit a certain boundary for the first time. The appropriate Kolmogorov backward equation is solved explicitly by making use of the method of similarity solutions.

引用

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页码：37 / 44

页数：8

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