Excursion probability

In probability theory, an excursion probability is the probability that a stochastic process surpasses a given value in a fixed time period. It is the probability^[1]

[math]\displaystyle{ \mathbb P \left\{ \sup_{t \in T} f(t) \geq u \right\}. }[/math]

Numerous approximation methods for the situation where u is large and f(t) is a Gaussian process have been proposed such as Rice's formula.^[1]^[2] First-excursion probabilities can be used to describe deflection to a critical point experienced by structures during "random loadings, such as earthquakes, strong gusts, hurricanes, etc."^[3]

References

↑ ^1.0 ^1.1 Adler, Robert J.; Taylor, Jonathan E. (2007). "Excursion Probabilities". Random Fields and Geometry. Springer Monographs in Mathematics. pp. 75–76. doi:10.1007/978-0-387-48116-6_4. ISBN 978-0-387-48112-8. https://archive.org/details/randomfieldsgeom00adle_474.
↑ Adler, R. J. (2000). "On excursion sets, tube formulas and maxima of random fields". The Annals of Applied Probability 10: 1. doi:10.1214/aoap/1019737664.
↑ Yang, J. -N. (1973). "First-excursion probability in non-stationary random vibration". Journal of Sound and Vibration 27 (2): 165–182. doi:10.1016/0022-460X(73)90059-X.

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[adler-1] 1.0 ^1.1 Adler, Robert J.; Taylor, Jonathan E. (2007). "Excursion Probabilities". Random Fields and Geometry. Springer Monographs in Mathematics. pp. 75–76. doi:10.1007/978-0-387-48116-6_4. ISBN 978-0-387-48112-8. https://archive.org/details/randomfieldsgeom00adle_474.

[2] Adler, R. J. (2000). "On excursion sets, tube formulas and maxima of random fields". The Annals of Applied Probability 10: 1. doi:10.1214/aoap/1019737664.

[3] Yang, J. -N. (1973). "First-excursion probability in non-stationary random vibration". Journal of Sound and Vibration 27 (2): 165–182. doi:10.1016/0022-460X(73)90059-X.

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