Estimating the Probability That a Random Process First Reaches the Boundary of a Region on a Given Time Interval

Sergei Semakov1, Ivan Semakov2

  • 1Moscow Institute of Physics and Technology and Moscow Aviation I
  • 2Moscow Aviation Institute

Details

11:00 - 11:20 | Mon 17 Dec | Flicker 2 | MoA07.4

Session: Stochastic Systems I

Abstract

We estimate the probability of the first achivement of a given level by a component of a multidimensional process on a given time interval under restrictions on the remaining components. We consider non-Markovian smooth random processes. We specialize our results for a Gaussian process.