Passage times of perturbed subordinators with application to reliability

Details Passage times of perturbed subordinators with application to reliability Passage times of perturbed subordinators with application to reliability

2012-01-05

arxiv.org/abs/1201.1199v1

Mathematics

Probability

Scientific paper

We consider a wide class of increasing L\'evy processes perturbed by an independent Brownian motion as a degradation model. Such family contains almost all classical degradation models considered in the literature. Classically failure time associated to such model is defined as the hitting time or the first-passage time of a fixed level. Since sample paths are not in general increasing, we consider also the last-passage time as the failure time following a recent work by Barker and Newby. We address here the problem of determining the distribution of the first-passage time and of the last-passage time. In the last section we consider a maintenance policy for such models.

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