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Level crossing problems and drift reliability

Author

Listed:
  • Volkmar Pieper
  • Marco Dominé
  • Petra Kurth

Abstract

Reliability of products is often determined by special technical or physical drift parameters. Suitable stochastic processes are applied to model such drift processes. An failure can be observed when the drift process leaves a given region at the first time. Then the lifetime is the random time to first exit. Applying the first exit theory it is possible to find the type of lifetime distribution. Further the parameters of the lifetime distribution are to be estimated by observations of realisations of the underlying drift process. Copyright Physica-Verlag 1997

Suggested Citation

  • Volkmar Pieper & Marco Dominé & Petra Kurth, 1997. "Level crossing problems and drift reliability," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 45(3), pages 347-354, October.
    • Handle: RePEc:spr:mathme:v:45:y:1997:i:3:p:347-354
    DOI: 10.1007/BF01194784
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    Cited by:

    1. Herrmann, Samuel & Massin, Nicolas, 2023. "Exact simulation of the first passage time through a given level of jump diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 553-576.

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