This article is cited in 1 paper

Short Communications

Semiordering of the probabilities of the first passage time for Markov processes

G. I. Kalmykov

Moscow

Abstract: Let $\{\xi(t),\ t\in T\}$ bе a real Markov process. Let $c(t)$ be a real function and $\widehat\tau_\xi(s,c(t))$ $(\tau_\xi(s,c(t)))$ denote the first time, after $s$, of the crossing (the contact) of the curve $x=c(t)$.
Two real Markov processes $\{\xi_1(t),t\in T\}$ and $\{\xi_2(t),t\in T\}$ with conditional probabilities $\mathbf P_{s,x}^{(1)}\{B\}$ and $\mathbf P_{s,x}^{(2)}\{B\}$ being considered, sufficient conditions for the inequality
\begin{gather*} \mathbf P_{s,x}^{(1)}\{\widehat\tau_{\xi_1}(s,a(t))\le\min(t,\widehat\tau_{\xi_1}(s,b(t))\}\le \\ \le\mathbf P_{s,x}^{(2)}\{\widehat\tau_{\xi_2}(s,a(t))\le\min(t,\widehat\tau_{\xi_2}(s,b(t))\} \end{gather*}
are obtained. Here $a(t)$ and $b(t)$ are real functions satisfying $a(t)<x<b(t)$.
The analogous results are obtained for $\tau_{\xi_1}$ and $\tau_{\xi_2}$.

Received: 16.02.1967

 English version: Theory of Probability and its Applications, 1969, 14:4, 704–710

Bibliographic databases:

• 
•