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On a stochastic process with switchings. / Lotov, Vladimir Ivanovich; Xodjibayev, Vali Raximdjanovich.

In: Сибирские электронные математические известия, Vol. 16, 01.01.2019, p. 1531-1546.

Research output: Contribution to journal › Article › peer-review

Harvard

Lotov, VI & Xodjibayev, VR 2019, 'On a stochastic process with switchings', Сибирские электронные математические известия, vol. 16, pp. 1531-1546. https://doi.org/10.33048/semi.2019.16.104

APA

Lotov, V. I., & Xodjibayev, V. R. (2019). On a stochastic process with switchings. Сибирские электронные математические известия, 16, 1531-1546. https://doi.org/10.33048/semi.2019.16.104

Vancouver

Lotov VI, Xodjibayev VR. On a stochastic process with switchings. Сибирские электронные математические известия. 2019 Jan 1;16:1531-1546. doi: 10.33048/semi.2019.16.104

Author

Lotov, Vladimir Ivanovich ; Xodjibayev, Vali Raximdjanovich. / On a stochastic process with switchings. In: Сибирские электронные математические известия. 2019 ; Vol. 16. pp. 1531-1546.

BibTeX

@article{e8f5385b1e3b45b1a3a41cc24896b90f,
title = "On a stochastic process with switchings",
abstract = "We study a stochastic process X(t) with switchings between two stationary processes with independent increments while achieving regulatory barriers. We obtain the dual Laplace-Stieltjes transform of the distribution of the process X(t) and its limit as t ! 1. Under Cramer's type conditions, the asymptotic representations of these transforms are obtained when the width of the regulating strip is growing. We use known results for regenerative processes and factorization technique for the study in boundary crossing problems for stochastic processes.",
keywords = "oscillating stochastic process, stationary process with independent increments, regenerative process, stationary distribution, factorization method, Factorization method, Oscillating stochastic process, Regenerative process, Stationary distribution, Stationary process with independent increments",
author = "Lotov, {Vladimir Ivanovich} and Xodjibayev, {Vali Raximdjanovich}",
note = "Лотов В.И., Ходжибаев В.Р. О случайном процессе с переключениями // Сибирские электронные математические известия. - 2019. - Т. 16. - С. 1531–1546",
year = "2019",
month = jan,
day = "1",
doi = "10.33048/semi.2019.16.104",
language = "English",
volume = "16",
pages = "1531--1546",
journal = "Сибирские электронные математические известия",
issn = "1813-3304",
publisher = "Sobolev Institute of Mathematics",

}

RIS

TY - JOUR

T1 - On a stochastic process with switchings

AU - Lotov, Vladimir Ivanovich

AU - Xodjibayev, Vali Raximdjanovich

N1 - Лотов В.И., Ходжибаев В.Р. О случайном процессе с переключениями // Сибирские электронные математические известия. - 2019. - Т. 16. - С. 1531–1546

PY - 2019/1/1

Y1 - 2019/1/1

N2 - We study a stochastic process X(t) with switchings between two stationary processes with independent increments while achieving regulatory barriers. We obtain the dual Laplace-Stieltjes transform of the distribution of the process X(t) and its limit as t ! 1. Under Cramer's type conditions, the asymptotic representations of these transforms are obtained when the width of the regulating strip is growing. We use known results for regenerative processes and factorization technique for the study in boundary crossing problems for stochastic processes.

AB - We study a stochastic process X(t) with switchings between two stationary processes with independent increments while achieving regulatory barriers. We obtain the dual Laplace-Stieltjes transform of the distribution of the process X(t) and its limit as t ! 1. Under Cramer's type conditions, the asymptotic representations of these transforms are obtained when the width of the regulating strip is growing. We use known results for regenerative processes and factorization technique for the study in boundary crossing problems for stochastic processes.

KW - oscillating stochastic process

KW - stationary process with independent increments

KW - regenerative process

KW - stationary distribution

KW - factorization method

KW - Factorization method

KW - Oscillating stochastic process

KW - Regenerative process

KW - Stationary distribution

KW - Stationary process with independent increments

UR - http://www.scopus.com/inward/record.url?scp=85081265916&partnerID=8YFLogxK

UR - https://www.elibrary.ru/item.asp?id=42735147

U2 - 10.33048/semi.2019.16.104

DO - 10.33048/semi.2019.16.104

M3 - Article

VL - 16

SP - 1531

EP - 1546

JO - Сибирские электронные математические известия

JF - Сибирские электронные математические известия

SN - 1813-3304

ER -

ID: 23713746