학술논문
ON A FORMULATION OF THE MULTIPLE "DISORDER" PROBLEM.
Document Type
Article
Author
Source
Subject
*MARKOV processes
*ESTIMATION theory
*DISTRIBUTION (Probability theory)
*STOCHASTIC processes
*
*
*
Language
ISSN
0040-585X
Abstract
This paper deals with a formulation of the multiple "disorder" problem. Let τ[SUB1], . . . , τ[SUBn] be "disorder" emergence times. Available for observation is a process x with differential dx[SUBt] = θ[SUBt] dt + σdW[SUBt], where θ[SUBt] = Σ[SUPn,SUBi=1] a[SUBi]I{t ≧ τ[SUBi]} is a Markov process. Having the realization of the process x, it is required to estimate τ[SUBi], i = 1, . . . , n. The estimation of time τ[SUBi] is based on verifying the hypothesis about reaching the level A[SUBi] = Σ[SUPi,SUBk=1] a[SUBk] by the process θ. [ABSTRACT FROM AUTHOR]