On the Asymptotic Behavior of First Passage Time Densities for Stationary Gaussian Processes and Varying Boundaries
- DI NARDO, Elvira
- A. G. NOBILE
- E. PIROZZI
- L. M. RICCIARDI
Publication date
January 2003
DOI Publisher
Kluwer Academic Publishers:Journals Department, PO Box 322, 3300 AH Dordrecht Netherlands:011 31 78 6576050, EMAIL: frontoffice@wkap.nl, kluweronline@wkap.nl, INTERNET: http://www.kluwerlaw.com, Fax: 011 31 78 6576254Abstract
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
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