The integral equations are exploited to determine the asymptotic behaviour of the first passage time (FPT) p.d.f.'s through certain time-varying boundaries, including periodic boundaries, for a class of one-dimensional diffusion processes possessing steady-state densities. Sufficient conditions for the FPT density to exhibit an asymptotically exponential behaviour are given. Explicit formulas for the Ornstein-Uhlenbeck process are obtained and some new asymptotic results for the FPT density of the Wiener process are proved.

On the asymptotics of first passage time densities

GIORNO, Virginia;NOBILE, Amelia Giuseppina
1990-01-01

Abstract

The integral equations are exploited to determine the asymptotic behaviour of the first passage time (FPT) p.d.f.'s through certain time-varying boundaries, including periodic boundaries, for a class of one-dimensional diffusion processes possessing steady-state densities. Sufficient conditions for the FPT density to exhibit an asymptotically exponential behaviour are given. Explicit formulas for the Ornstein-Uhlenbeck process are obtained and some new asymptotic results for the FPT density of the Wiener process are proved.
1990
9810202423
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/3140285
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