On the asymptotic behavior of first passage time densities for stationary Gaussian processes and varying boundaries (Q1405355)

From MaRDI portal
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

    Statements

    On the asymptotic behavior of first passage time densities for stationary Gaussian processes and varying boundaries (English)
    0 references
    25 August 2003
    0 references
    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.
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    exponential trends
    0 references
    simulation
    0 references
    damped oscillatory covariance
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references