Some Approaches to the Estimation of the Stopping Time of the Cross-boundary Event for the Process with the Change-point

In the paper two approaches of estimation of the first boundary crossing time moment are considered. As the first estimate (for the process with the change-point on the interval of observation [0,t]) the conditional mean value expectation of the stopping-time is considered. The second considered est...

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Bibliographic Details
Published inJournal of physics. Conference series Vol. 1368; no. 4; pp. 42089 - 42095
Main Author Kovalenko, A A
Format Journal Article
LanguageEnglish
Published Bristol IOP Publishing 01.11.2019
Subjects
Physics
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Summary:In the paper two approaches of estimation of the first boundary crossing time moment are considered. As the first estimate (for the process with the change-point on the interval of observation [0,t]) the conditional mean value expectation of the stopping-time is considered. The second considered estimate is the measurable and observable stopping-time moment for which the conditional mean value of the appropriate process is equal to the value of the boundary.
ISSN:1742-6588
1742-6596
DOI:10.1088/1742-6596/1368/4/042089