The problem of escape times from a region confined by two time-dependent boundaries is considered for a class of Gauss-Markov processes. Asymptotic approximations of the first exit time probability density functions in case of asymptotically constant and asymptotically periodic boundaries are obtained firstly for the Ornstein-Uhlenbeck process and then extended to the class of Gauss-Markov processes that can be obtained by a specified transformation. Some examples of application to stochastic dynamics and estimations of involved parameters by using numerical approximations are provided.
Asymptotics of Two-boundary First-exit-time Densities for Gauss-Markov Processes / D’Onofrio, G.; Pirozzi, E.. - In: METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY. - ISSN 1387-5841. - 21:3(2019), pp. 735-752. [10.1007/s11009-018-9617-4]
Asymptotics of Two-boundary First-exit-time Densities for Gauss-Markov Processes
Pirozzi, E.
2019
Abstract
The problem of escape times from a region confined by two time-dependent boundaries is considered for a class of Gauss-Markov processes. Asymptotic approximations of the first exit time probability density functions in case of asymptotically constant and asymptotically periodic boundaries are obtained firstly for the Ornstein-Uhlenbeck process and then extended to the class of Gauss-Markov processes that can be obtained by a specified transformation. Some examples of application to stochastic dynamics and estimations of involved parameters by using numerical approximations are provided.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
