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Finite difference solution to stochastic partial differential equations in reliability

Author

Listed:
  • Arpan Gupta
  • Mangey Ram

Abstract

The paper presents a numerical method to solve for the reliability measures of a Markovian system. The model is obtained from the field of reliability engineering for systems having constant failure and repair rates. Generally, the steady state behaviour of the system is studied due to some constraint on obtaining the transition state solution. The proposed method helps to govern the transition state probability values, by utilising a finite difference method in concurrence with the results of integral appearing in stochastic differential equation obtained using the supplementary variable technique. Results thus achieved are found to be effective for studying the transition state behaviour of the system.

Suggested Citation

  • Arpan Gupta & Mangey Ram, 2018. "Finite difference solution to stochastic partial differential equations in reliability," International Journal of Industrial and Systems Engineering, Inderscience Enterprises Ltd, vol. 28(2), pages 166-177.
    • Handle: RePEc:ids:ijisen:v:28:y:2018:i:2:p:166-177
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