A parallel algorithm is implemented to simulate sample paths of stationary normal processes possessing a Butterworth-type covariance, in order to investigate asymptotic properties of the first passage time probability densities for time-varying boundaries. After a self-contained outline of the simulation procedure, computational results are included to show that for large times and for large boundaries the first passage time probability density through an asymptotically periodic boundary is exponentially distributed to an excellent degree of approximation.
Computer-aided simulations of Gaussian processes and related asymptotic properties / E., DI NARDO; A. G., Nobile; Pirozzi, Enrica; Ricciardi, LUIGI MARIA. - STAMPA. - 2178:(2001), pp. 67-78. (Intervento presentato al convegno Eurocast 2001) [10.1007/3-540-45654-6_6].
Computer-aided simulations of Gaussian processes and related asymptotic properties
PIROZZI, ENRICA;RICCIARDI, LUIGI MARIA
2001
Abstract
A parallel algorithm is implemented to simulate sample paths of stationary normal processes possessing a Butterworth-type covariance, in order to investigate asymptotic properties of the first passage time probability densities for time-varying boundaries. After a self-contained outline of the simulation procedure, computational results are included to show that for large times and for large boundaries the first passage time probability density through an asymptotically periodic boundary is exponentially distributed to an excellent degree of approximation.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
