A note on the first-passage problem and VanMarcke's approximation - short communication

Probabilistic Engineering Mechanics

Volumn 22, Issue 1, 2007, Pages 22-26

  Koutsourelakis, P S ^a  

^a LAWRENCE LIVERMORE NATIONAL LABORATORY   (United States)

Author keywords

Binary process; First passage problem; Markov process

Indexed keywords

APPROXIMATION THEORY; BOUNDARY CONDITIONS; HIERARCHICAL SYSTEMS; PROBABILITY DENSITY FUNCTION; PROBLEM SOLVING; RANDOM PROCESSES;

BINARY PROCESSES; FIRST PASSAGE PROBLEM; PROBABILITY PROBLEM; VANMARCKE'S APPROXIMATION;

MARKOV PROCESSES;

EID: 33750326941     PISSN: 02668920     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.probengmech.2006.05.003     Document Type: Article

References (5)

1. Darling D.A., and Siegert A.J.F. The first passage problem for continuous Markov processes. Annals of Mathematical Statistics 24 4 (1953) 624-639
2. Koutsourelakis P.S., and Deodatis G. Simulation of binary random processes with applications to two-phase random media. Journal of Engineering Mechanics ASCE 131 4 (2005)
3. Siegert A.J.F. On the first passage time probability problem. Physical Review 81 (1951) 617-623
4. Sinai Y. Lecture notes on random processes (2001), Princeton University
5. VanMarcke E. On the distribution of the first-passage time for normal stationary random processes. Journal of Applied Mechanics ASME 42 (1975) 215-220