Loading...
Please wait, while we are loading the content...
Similar Documents
A Simple Model for Random Oscillations
| Content Provider | Scilit |
|---|---|
| Author | Papangelou, F. |
| Copyright Year | 2010 |
| Description | A simple model for a randomly oscillating variable is suggested, which is a variant of the two-state random velocity model. As in the latter model, the variable keeps rising or falling with constant velocity for some time before randomly reversing its direction. In contrast however, its propensity to reverse depends on its current value and it is for this desirable feature that the model is proposed here. This feature has two implications: (a) neither the changing variable nor its velocity is Markovian, although the joint process is, and (b) the linear differential equations arising in the case of our model do not have constant coefficients. The results given in this paper are meant to illustrate the straightforward nature of some of the calculations involved and to highlight the relationship with one-dimensional diffusions. |
| Related Links | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/D2F5AECEAA923563AAFC71265ED74F1E/S0021900200007440a.pdf/div-class-title-a-simple-model-for-random-oscillations-div.pdf |
| Ending Page | 1173 |
| Page Count | 10 |
| Starting Page | 1164 |
| ISSN | 00219002 |
| e-ISSN | 14756072 |
| DOI | 10.1017/s0021900200007440 |
| Journal | Journal of applied probability |
| Issue Number | 04 |
| Volume Number | 47 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2010-12-01 |
| Access Restriction | Open |
| Subject Keyword | Journal of applied probability Mathematical Physics Random Oscillation Random Evolution Hazard Field Markov Process Stationary Distribution Level Crossing Recurrence Time Exit Distribution Exit Time Scale and Speed Measure |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Statistics, Probability and Uncertainty |
