On the asymptotic behavior of first passage time densities for stationary Gaussian processes and varying boundaries (Q1405355)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the asymptotic behavior of first passage time densities for stationary Gaussian processes and varying boundaries |
scientific article |
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On the asymptotic behavior of first passage time densities for stationary Gaussian processes and varying boundaries (English)
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25 August 2003
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The authors investigate the asymptotic behaviour of the density of the first passage time probability for some stationary Gaussian processes and with varying boundaries. They prove sufficient conditions for the density to be of exponential behaviour provided that the boundary is either asymptotically constant or asymptotically periodic.
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exponential trends
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simulation
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damped oscillatory covariance
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