ON THE FIRST PASSAGE TIMES FOR MARKOV-PROCESSES WITH MONOTONE CONVEX TRANSITION KERNELS

被引：9

作者：

LI, HJ

SHAKED, M

机构：

[1] UNIV ARIZONA,DEPT MATH,TUCSON,AZ 85721

[2] WASHINGTON STATE UNIV,DEPT PURE & APPL MATH,PULLMAN,WA 99164

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1995年 / 58卷 / 02期

基金：

美国国家科学基金会;

关键词：

STOCHASTIC MONOTONICITY; MONOTONE AND CONVEX TRANSITION KERNELS; FIRST PASSAGE TIMES; NBU; IFRA; IFR; SHOCK MODELS; RELIABILITY THEORY;

D O I：

10.1016/0304-4149(95)00020-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we study the first passage time for a damage process to exceed a given threshold or for the maximal increment of this process to pass a certain critical value. Conditions under which this first passage time possesses the NBU, the IFRA or the IFR properties are studied. An application to pure jump shock models is also discussed.

引用

页码：205 / 216

页数：12

共 17 条

[1] ON THE 1ST PASSAGE TIME DISTRIBUTION FOR A CLASS OF MARKOV-CHAINS [J].