Approximate technique for calculating average time until a given high level is first crossed by a Gaussian random process

The problem of calculating the average time until a given high threshold level is first crossed by a Gaussian random process is considered. A technique for approximate estimation of this time for both nondifferentiable and differentiable Gaussian random processes is proposed; this technique can be u...

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Veröffentlicht in:Journal of computer & systems sciences international 2008-12, Vol.47 (6), p.851-860
Hauptverfasser: Bobylev, A. V., Yaroshevskii, V. A.
Format: Artikel
Sprache:eng
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Zusammenfassung:The problem of calculating the average time until a given high threshold level is first crossed by a Gaussian random process is considered. A technique for approximate estimation of this time for both nondifferentiable and differentiable Gaussian random processes is proposed; this technique can be used to solve some problems of flight dynamics in the conditions of atmospheric turbulence. The calculation results are compared with asymptotic estimates.
ISSN:1064-2307
1555-6530
DOI:10.1134/S1064230708060026