Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes

DOI10.1007/S11009-018-9617-4MaRDI QIDQ2283669zbMATH OpenOpenAlexFDO

Authors Giuseppe D'Onofrio, Enrica Pirozzi

Publication date 13 January 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-018-9617-4

zbMATH Keywords

first passage time problemGauss-Markov processesOrnstein-Uhlenbeck processtime-dependent boundaries

Mathematics Subject Classification ID

Gaussian processes (60G15) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites work

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Cited in

(11)

• On the asymptotic behavior of first passage time densities for stationary Gaussian processes and varying boundaries
• First-passage times and related moments for continuous-time birth-death chains
• Asymptotic results for exit probabilities of stochastic processes governed by an integral type rate function
• Asymptotics and evaluations of FPT densities through varying boundaries for Gauss-Markov processes
• Asymptotic Exponentiality of the Distribution of First Exit Times for a Class of Markov Processes with Applications to Quickest Change Detection
• scientific article; zbMATH DE number 7640329 (Why is no real title available?)
• First passage times for some classes of fractional time-changed diffusions
• Exact simulation of first exit times for one-dimensional diffusion processes
• On the first-passage times of certain Gaussian processes, and related asymptotics
• Boundary crossing problems and functional transformations for Ornstein-Uhlenbeck processes
• Exact asymptotics for the exit time probabilities of scalar Ornstein-Uhlenbeck bridges

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