Abstract
A lot of study concerning the first-excursion probability of a random process has been carried out. So far, series approximation derived from the theory of random process, an.approximation based on the maximun entropy principle and based on the, Markov property have been developed. In this paper, it is shown that it is possible to get approximately a simple analytical expression to evaluate the first-excursion probability with the threshold'levels defined by random variables, by introducing the, concept of the survived probability process.