Exploring the State of a Stochastic System via Stochastic Simulations: An Interesting Inversion Problem and the Health State Function

Christos H. Skiadas () and Charilaos Skiadas
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Christos H. Skiadas: Technical University of Crete
Charilaos Skiadas: Hanover College

Methodology and Computing in Applied Probability, 2015, vol. 17, issue 4, 973-982

Abstract: Abstract Weexplore a method for finding the State H(t) of a Stochastic System when the first exit time or hitting time probability density function g(t) is given. The task is to find an analytic form for the state H(t) of the system thus providing a very flexible tool important in many scientific fields. The finding of this analytic form was done with the cost of an error function f(t) which we estimate in this paper by using stochastic simulations starting from the simpler linear case for H(t), then with the quadratic and higher order functions. Finally, an application to the mortality data for females in USA the year 2000 is made. We thus estimate the state of the population system or the health state of the population.

Keywords: Stochastic modeling; First exit time probability density function; Hitting time model; Health State Function; Inverse Gaussian; Life Table Data; 60G40; 62L20; 60H10 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11009-014-9410-y

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