First and second-order approximations to the first passage time conditional probability density function of a stationary Gaussian process, with differentiable sample paths crossing a time-dependent boundary, are explicitly provided. In the limit of infinitely large time, our results coincide with the well-known results of Kac and Rice for the constant level-crossing problem.
A note on first passage time problems for Gaussian processes and varying boundaries / Ricciardi, LUIGI MARIA; S., Sato. - In: IEEE TRANSACTIONS ON INFORMATION THEORY. - ISSN 0018-9448. - STAMPA. - 29:3(1983), pp. 454-457.
A note on first passage time problems for Gaussian processes and varying boundaries
RICCIARDI, LUIGI MARIA;
1983
Abstract
First and second-order approximations to the first passage time conditional probability density function of a stationary Gaussian process, with differentiable sample paths crossing a time-dependent boundary, are explicitly provided. In the limit of infinitely large time, our results coincide with the well-known results of Kac and Rice for the constant level-crossing problem.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.