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Modelling strike duration distribution: a controlled Wiener process approach

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  • Mikael Linden

Abstract

Strike duration density distribution is derived from a controlled Wiener process. The distribution is the same as the first passage time distribution of the Wiener process with non‐zero drift, i.e. Inverse Gaussian distribution. The result utilizes the fact that the optimal conditions of a controlled process can be expressed by the conditions of an uncontrolled process. Consequently, the maximum‐likelihood estimates of expected strike duration with first passage density from a controlled process and IGD are the same. This finding provides a rationale for IGD as a basis for statistical analysis of strike duration. Copyright © 2000 John Wiley & Sons, Ltd.

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  • Mikael Linden, 2000. "Modelling strike duration distribution: a controlled Wiener process approach," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 16(1), pages 35-45, January.
    • Handle: RePEc:wly:apsmbi:v:16:y:2000:i:1:p:35-45
    DOI: 10.1002/(SICI)1526-4025(200001/03)16:13.0.CO;2-I
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