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On the Asymptotic Behavior of First Passage Time Densities for Stationary Gaussian Processes and Varying Boundaries

Author

Listed:
  • E. Di Nardo

    (Università degli Studi della Basilicata)

  • A. G. Nobile

    (Università di Salerno)

  • E. Pirozzi

    (Università di Napoli Federico II)

  • L. M. Ricciardi

    (Università di Napoli Federico II)

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.

Suggested Citation

  • E. Di Nardo & A. G. Nobile & E. Pirozzi & L. M. Ricciardi, 2003. "On the Asymptotic Behavior of First Passage Time Densities for Stationary Gaussian Processes and Varying Boundaries," Methodology and Computing in Applied Probability, Springer, vol. 5(2), pages 211-233, June.
    • Handle: RePEc:spr:metcap:v:5:y:2003:i:2:d:10.1023_a:1024561819675
    DOI: 10.1023/A:1024561819675
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