On the asymptotic behavior of first passage time densities for stationary Gaussian processes

E. Di Nardo; A. G. Nobile; E. Pirozzi; L. M. Ricciardi

On the asymptotic behavior of first passage time densities for stationary Gaussian processes

Probability 2007-05-23 v2

Authors: E. Di Nardo , A. G. Nobile , E. Pirozzi , L. M. Ricciardi

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.

Keywords

first passage time density stationary gaussian processes rice-like series time-varying boundaries periodic boundaries asymptotic exponential behavior

Cite

@article{arxiv.math/0305240,
  title  = {On the asymptotic behavior of first passage time densities for stationary Gaussian processes},
  author = {E. Di Nardo and A. G. Nobile and E. Pirozzi and L. M. Ricciardi},
  journal= {arXiv preprint arXiv:math/0305240},
  year   = {2007}
}

Comments

21 pages, 7 figures, to be published in Methodology and Computing in Applied Probability

On the asymptotic behavior of first passage time densities for stationary Gaussian processes

Abstract

Keywords

Cite

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