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TRANSFORMED LEVY PROCESSES AS STATE-DEPENDENT WEAR MODELS

Title
TRANSFORMED LEVY PROCESSES AS STATE-DEPENDENT WEAR MODELS
Authors
Mercier, SophieCha, Ji Hwan
Ewha Authors
차지환
SCOPUS Author ID
차지환scopus
Issue Date
2019
Journal Title
ADVANCES IN APPLIED PROBABILITY
ISSN
0001-8678JCR Link

1475-6064JCR Link
Citation
ADVANCES IN APPLIED PROBABILITY vol. 51, no. 2, pp. 468 - 486
Keywords
Reliabilitydeterioration modelwear processstochastic orderpositive dependencenonindependent increment
Publisher
APPLIED PROBABILITY TRUST
Indexed
SCIE; SCOPUS WOS
Document Type
Article
Abstract
Many wear processes used for modeling accumulative deterioration in a reliability context are nonhomogeneous Levy processes and, hence, have independent increments, which may not be suitable in an application context. In this work we consider Levy processes transformed by monotonous functions to overcome this restriction, and provide a new state-dependent wear model. These transformed Levy processes are first observed to remain tractable Markov processes. Some distributional properties are derived. We investigate the impact of the current state on the future increment level and on the overall accumulated level from a stochastic monotonicity point of view. We also study positive dependence properties and stochastic monotonicity of increments.
DOI
10.1017/apr.2019.21
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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