Email this article Approximations in the Problem of Level Crossing by a Compound Renewal Process
- Authors: Malinovskii V.K.1
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Affiliations:
- Central Economics and Mathematics Institute
- Issue: Vol 98, No 3 (2018)
- Pages: 622-625
- Section: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/225598
- DOI: https://doi.org/10.1134/S1064562418070232
- ID: 225598
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Abstract
The classical problem of level crossing by a compound renewal process is considered, which has been extensively studied and has various applications. For the distribution of the first level crossing time, a new approximation is proposed, which is valid under minimal conditions and is obtained by applying a new method. It has a number of advantages over previously known approximations.
About the authors
V. K. Malinovskii
Central Economics and Mathematics Institute
Author for correspondence.
Email: Vsevolod.Malinovskii@mail.ru
Russian Federation, Moscow, 117418
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