On the Asymptotic Behavior of First Passage Time Densities for Stationary Gaussian Processes and Varying Boundaries

E. Di Nardo (), A. G. Nobile (), E. Pirozzi and L. M. Ricciardi
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E. Di Nardo: Università degli Studi della Basilicata
A. G. Nobile: Università di Salerno
E. Pirozzi: Università di Napoli Federico II
L. M. Ricciardi: Università di Napoli Federico II

Methodology and Computing in Applied Probability, 2003, vol. 5, issue 2, 211-233

Abstract: Abstract Making use of a Rice-like series expansion, for a class of stationary Gaussian processes the asymptotic behavior of the first passage time probability density function through certain time-varying boundaries, including periodic boundaries, is determined. Sufficient conditions are then given such that the density asymptotically exhibits an exponential behavior when the boundary is either asymptotically constant or asymptotically periodic.

Keywords: exponential trends; simulation; damped oscillatory covariance (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1023/A:1024561819675

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