Asymptotics and evaluations of FPT densities through varying boundaries for Gauss-Markov processes

zbMATH Open1151.60035MaRDI QIDQ3515340FDOQ3515340

Authors: Enrica Pirozzi, Amelia G. Nobile, L. M. Ricciardi 

Publication date: 29 July 2008

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zbMATH Keywords

Ornstein-Uhlenbeck processWiener processBrownian bridgefirst-passage time problemcomputational approximations

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Neural biology (92C20)

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• The first-passage density of a continuous gaussian process to a general boundary
• Gauss-Markov processes in the presence of a reflecting boundary and applications in neuronal models
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• Asymptotic of the running maximum distribution of a Gaussian Bridge
• Computer Aided Systems Theory – EUROCAST 2005
• Restricted Ornstein-Uhlenbeck process and applications in neuronal models with periodic input signals
• On the first-passage times of certain Gaussian processes, and related asymptotics
• On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary

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