New bounds for the first passage, wave-length and amplitude densities (Q910841)

The basic ingredients of this paper are stochastic processes y(s), \(x_ 1(s),x_ 2(s),....,x_ n(s)\), \(s\geq 0\), all defined on the same probability space, with continuously differentiable sample paths. Let \(T=T_ 1\) denote the time of the first zero-crossing of the process y(s). Under certain ``decomposability'' assumptions, the author obtains two formulas for the joint density of T, \(x_ 1(T),x_ 2(T),...,x_ n(T)\). The indicator function I(y;t), which is \(=1\) if and only if the sample path of y(s) does not cross zero prior to time t, appears in these formulas. A (calculable) over-estimate of I(y;t) may be used, via both formulas, to obtain both upper and lower bounds for this joint density. The whole exercise is then redone, with added complications, when T denotes the time of the first zero upcrossing of y(s), and similar arguments would apply to downcrossings. Bounds are also obtained in this case for the distribution of T itself. The author compares his various bounds with the classical bounds based on Rice series and presents explicit examples to illustrate his bounding procedure.