A First-Passage-Time Problem for a Discrete-Time Markov Process-Reference-Cited by-同舟云学术

A First-Passage-Time Problem for a Discrete-Time Markov Process

Published:2024-06-06 Issue: Volume:6 Page:76-81
ISSN:2766-9823
Container-title:International Journal of Applied Mathematics, Computational Science and Systems Engineering
language:en
Short-container-title:

Author:

Lefebvre Mario¹

Affiliation:

1. Department of Mathematics and Industrial Engineering Polytechnique Montréal 2500, chemin de Polytechnique, Montréal (Québec) H3T 1J4 CANADA

Abstract

We consider the discrete-time stochastic process {Xn, n = 0, 1, . . .} defined by Xn+1 = Xn − ϵn+1, where ϵn+1 is a non-negative random variable. The aim is to compute the mean first-passage time to zero for this process, which can be used as a model for the remaining lifetime of a machine. Particular cases are solved exactly and explicitly.

Publisher

World Scientific and Engineering Academy and Society (WSEAS)

Reference11 articles.

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