The relationship of categories of “risk” and “stability” of the non-stationary random process

Abstract

The paper offers a formulated notion of risk of a random process and the level of risk of a random process. If the risk of a random process is the ability of a result feature value to fall outside the confidence interval of the forecast, the level of risk of a random process is the probability of such phenomenon. The authors propose a method of determining the level of risk of a random process. The task of risk control based on the solution of the optimal control problem is considered. The sum of the optimal values of the control parameters is the stoke for the development of a random process, which is necessary to achieve the planned level of risk. Categories “risk” and “stability” of a random process are closely interrelated. The ability to control the level of risk enables to control the stability of a random process.