For a class of Gauss-Markov processes the asymptotic behavior of the first passage time (FPT) probability density function (pdf) through certain time-varying boundaries is determined. Computational results for Wiener, Ornstein-Uhlenbeck and Brownian bridge processes are considered to show that the FPT pdf through certain large boundaries exhibits for large times an excellent asymptotic approximation.
On the estimation of first-passage time densities for a class of Gauss-Markov processes / A. G., Nobile; Pirozzi, Enrica; Ricciardi, LUIGI MARIA. - STAMPA. - 4739:(2007), pp. 146-153. [10.1007/978-3-540-75867-9_19]
On the estimation of first-passage time densities for a class of Gauss-Markov processes
PIROZZI, ENRICA;RICCIARDI, LUIGI MARIA
2007
Abstract
For a class of Gauss-Markov processes the asymptotic behavior of the first passage time (FPT) probability density function (pdf) through certain time-varying boundaries is determined. Computational results for Wiener, Ornstein-Uhlenbeck and Brownian bridge processes are considered to show that the FPT pdf through certain large boundaries exhibits for large times an excellent asymptotic approximation.File in questo prodotto:
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