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.
On the asymptotic behavior of first passage time densities for stationary Gaussian processes and varying boundaries / E., DI NARDO; A. G., Nobile; Pirozzi, Enrica; Ricciardi, LUIGI MARIA. - In: METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. - ISSN 1387-5841. - STAMPA. - 5:2(2003), pp. 211-233. [10.1023/A:1024561819675]
On the asymptotic behavior of first passage time densities for stationary Gaussian processes and varying boundaries
PIROZZI, ENRICA;RICCIARDI, LUIGI MARIA
2003
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
