Stochastic Systems

The probability of first reaching a desired level by a random process on a given interval

S. L. Semakov^ab, I. S. Semakov<sup>b

a</sup> Moscow Institute of Physics and Technology
^b Moscow Aviation Institute (National Research University)

Abstract: We estimate the probability that the first achievement of a given level by a continuous random process occurs on a given interval of the independent variable. The results are concretized for the Gaussian process. The example of numerical estimates is given.

Keywords: random process, probability of reaching a level, moment of first reaching a level.

Presented by the member of Editorial Board: E. Ya. Rubinovich

Received: 23.02.2018
Revised: 25.06.2018
Accepted: 08.11.2018

DOI: 10.1134/S0005231019030061

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