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
NOBILE, Amelia Giuseppina;
2007-01-01
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 approximationFile in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.