venerdì, maggio 08, 2009

PP09 (III)

There was an error in the derivation of the partial differential equation for the age distribution in the slides. I have changed it, and now the slides are correct.

The derivation goes as follows; assume that we have a renewal process with age distribution u and hazard rate f. After a short time dt you will have that units with age s+dt at time t+dt are exactly the units that at time t had age s and that did not produce an event. Locally on time, the probability of not emitting an event is

P(\mbox{no event in (t,t+dt}) \approx e^{-\phi(s(t)) dt}

so, plugging this into the age distribution we obtain

u(t+dt,s+dt) \approx e^{-\phi(s) dt} u(t,s)

Fine. We now subtract u(t,s+dt) from both sides of the equation and expand the exponential function up to first order. This leads to

u(t+dt,s+dt)-u(t,s+dt) \approx (1-\phi(s) dt) u(t,s) - u(t,s+dt)

Rearrangin and dividing by dt leads to

\frac{u(t+dt,s+dt)-u(t,s+dt)}{dt} \approx \frac{u(t,s)- u(t,s+dt)}{dt}- \phi(s) u(t,s)

Of course this means

\partial_t u(t,s) \approx -\partial_s u(t,s) - \phi(s) u(t,s)

complemented with some initial and boundary condition.

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