On cumulative jump random variables

Michael Tortorella ()

Annals of Operations Research, 2013, vol. 206, issue 1, 485-500

Abstract: Stochastic models for phenomena that can exhibit sudden changes involve the use of processes whose sample functions may have discontinuities. This paper provides some tools for working with such processes. We develop a sample path formula for the cumulative jump height over a given time interval. From this formula an expression for the expected value of the cumulative jump random variable is developed under reasonable conditions. The results are applied to finding the expected number of failures in the separate maintenance model over a stated time interval and to the expected number of occurrences of a regenerative event over a stated time interval. Copyright Springer Science+Business Media New York 2013

Keywords: Sample paths; Cadlag functions; Integral representations; Separate maintenance model; Number of failures; Regenerative events (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s10479-013-1319-2 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:206:y:2013:i:1:p:485-500:10.1007/s10479-013-1319-2

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-013-1319-2

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().