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A Diffusion Model for a System Subject to Random Shocks
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  • A Diffusion Model for a System Subject to Random Shocks
  • A Diffusion Model for a System Subject to Random Shocks
저자명
Lee. Eui-Yong,Song. Mun-Sup,Park. Byung-Gu
간행물명
통계학연구
권/호정보
1995년|24권 1호|pp.141-147 (7 pages)
발행정보
한국통계학회
파일정보
정기간행물|ENG|
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기타
이 논문은 한국과학기술정보연구원과 논문 연계를 통해 무료로 제공되는 원문입니다.
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기타언어초록

A diffusion model for a system subject to random shocks is introduced. It is assumed that the state of system is modeled by a Brownian motion with negative drift and an absorbing barrier at the origin. It is also assumed that the shocks coming to the system according to a Poisson process decrease the state of the system by a random amount. It is further assumed that a repairman arrives according to another Poisson process and repairs or replaces the system i the system, when he arrives, is in state zero. A forward differential equation is obtained for the distribution function of X(t), the state of the systme at time t, some boundary conditions are discussed, and several interesting characteristics are derived, such as the first passage time to state zero, F(0,t), the probability of the system being in state zero at time t, and F(0), the limit of F(0,t) as t tends to infinity.