For Gauss-Markov processes the asymptotic behaviors of the first passage time probability density functions through certain time-varying boundaries are determined. Computational results for Wiener, Ornstein-Uhlenbeck and Brownian bridge processes show that for certain large boundaries and for large times excellent asymptotic approximations hold for such densities.
Asymptotics and Evaluations of FPT Densities through Varying Boundaries for Gauss-Markov Processes
NOBILE, Amelia Giuseppina;
2008-01-01
Abstract
For Gauss-Markov processes the asymptotic behaviors of the first passage time probability density functions through certain time-varying boundaries are determined. Computational results for Wiener, Ornstein-Uhlenbeck and Brownian bridge processes show that for certain large boundaries and for large times excellent asymptotic approximations hold for such densities.File in questo prodotto:
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