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 approximation
2007
3540758666
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11386/3598677
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