On the asymptotic behavior of first passage time densities for stationary Gaussian processes
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Publication:6472829
arXivmath/0305240MaRDI QIDQ6472829FDOQ6472829
L. M. Ricciardi, Enrica Pirozzi, Amelia G. Nobile, E. Di Nardo
Publication date: 16 May 2003
Abstract: Making use of a Rice-like series expansion, for a class of stationary Gaussian processes the asymptotic behavior of the first passage time probability density function through certain time-varying boundaries, including periodic boundaries, is determined. Sufficient conditions are then given such that the density asymptotically exhibits an exponential behavior when the boundary is either asymptotically constant or asymptotically periodic.
Gaussian processes (60G15) Stationary stochastic processes (60G10) Stopping times; optimal stopping problems; gambling theory (60G40)
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