Mean first passage times of two-dimensional processes with jumps

Lijun Bo and Mario Lefebvre

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1183-1189

Abstract: In this paper, we incorporate a jump component into the model based on a two-dimensional degenerate diffusion process for the remaining lifetime of machines in the recent paper [Lefebvre, M., 2010. Mean first-passage time to zero for wear processes. Stochastic Models 26, 46-53] by the second author. We calculate explicitly the expected value of first passage times associated to the two-dimensional process when the jump component is taken to be a compound Poisson process with exponential jumps and random proportion of jumps.

Keywords: Remaining; lifetime; of; machines; Wear; First; passage; times; Compound; Poisson; process (search for similar items in EconPapers)
Date: 2011
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