A note on the first-passage problem and VanMarcke's approximation - short communication

被引：8

作者：

Koutsourelakis, P. S. ^{[1
]}

机构：

[1] Lawrence Livermore Natl Lab, Appl Stat & Econ Elect Engn Technol Div, Livermore, CA 94551 USA

来源：

PROBABILISTIC ENGINEERING MECHANICS | 2007年 / 22卷 / 01期

关键词：

first-passage problem; binary process; Markov process;

D O I：

10.1016/j.probengmech.2006.05.003

中图分类号：

TH [机械、仪表工业];

学科分类号：

0802 ;

摘要：

Given a scalar, stationary, Markov process, this short communication presents a closed-form solution for the first-passage problem for a fixed threshold b. The derivation is based on binary processes and the general formula of Siegert [Siegert AJF. On the first-passage time probability problem. Physical Review 195 1; 81:617-23]. The relation for the probability density function of the first-passage time is identical to the commonly used formula that was derived by VanMarcke [VanMarcke E. On the distribution of the first-passage time for normal stationary random processes. Journal of Applied Mechanics ASME 1975; 42:215-20] for Gaussian processes. The present derivation is based on more general conditions and reveals the criteria for the validity of the approximation. Properties of binary processes are also used to derive a hierarchy of upper bounds for any scalar process. (C) 2006 Elsevier Ltd. All rights reserved.

引用

页码：22 / 26

页数：5

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