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Sibirskii Zhurnal Industrial'noi Matematiki, 2023, Volume 26, Number 3, Pages 86–94
DOI: https://doi.org/10.33048/SIBJIM.2023.26.307
(Mi sjim1249)
 

On the time of the first level achievement for the ascending-descending process

V. I. Lotov

Sobolev Institute of Mathematics SB RAS, pr. Acad. Koptyuga 4, Novosibirsk 630090, Russia
References:
Abstract: We consider a stochastic process whose trajectories are characterized by alternate linear growth and linear decrease during time intervals of random length; the process can also keep its value during random intervals of time between growth and decrease. This process can be considered as a mathematical model of accumulation and consumption of materials, when random periods of time are combined for accumulation, spending and interruptions in operation. We study mean value $\mathbf{E} N$ of the first achievement time a fixed level for trajectories of this process, including finding exact formulas for $\mathbf{E} N$, estimating from above with an inequality and obtaining the asymptotics of $\mathbf{E} N$ under an infinitely receding level.
Keywords: stochastic inventory control models, stochastic process, random walk, first passage time.
Funding agency Grant number
Ministry of Science and Higher Education of the Russian Federation FWNF-2022-0010
Received: 21.02.2023
Revised: 01.03.2023
Accepted: 27.04.2023
English version:
Journal of Applied and Industrial Mathematics, 2023, Volume 17, Issue 3, Pages 592–599
DOI: https://doi.org/10.1134/S1990478923030122
Document Type: Article
UDC: 519.21
Language: Russian
Citation: V. I. Lotov, “On the time of the first level achievement for the ascending-descending process”, Sib. Zh. Ind. Mat., 26:3 (2023), 86–94; J. Appl. Industr. Math., 17:3 (2023), 592–599
Citation in format AMSBIB
\Bibitem{Lot23}
\by V.~I.~Lotov
\paper On~the~time of~the~first level achievement for~the~ascending-descending process
\jour Sib. Zh. Ind. Mat.
\yr 2023
\vol 26
\issue 3
\pages 86--94
\mathnet{http://mi.mathnet.ru/sjim1249}
\crossref{https://doi.org/10.33048/SIBJIM.2023.26.307}
\transl
\jour J. Appl. Industr. Math.
\yr 2023
\vol 17
\issue 3
\pages 592--599
\crossref{https://doi.org/10.1134/S1990478923030122}
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    Сибирский журнал индустриальной математики
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