Far Eastern Mathematical Journal

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Accuracy solution of A.A. Novikov problem for reaching moments of autoregressive sequence


M. A. Osipova, G. Sh. Tsitsiashvili

2009, issue 1-2, . 182189


Abstract
In this paper the Laplas model described by an autoregressive random sequence is considered. Our problem is to calculate a distribution of a reaching moment in the model. The problem is put by A.A. Novikov and obtained in the paper an accuracy solution. This solution may be realized sufficiently simple numerically.

Keywords:
the Laplas model, a reaching moment, a sum of exponents, a recurrent integral equality

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