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

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.

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

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