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

$\mathbb{P}\{\underset{t\in T}{\sup }f(t)\ge u\}.$

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. 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."

References

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