Upcrossing first passage times for correlated gaussian processes

Authors:
Virginia Giorno;Amelia G. Nobile;Enrica Pirozzi
Affiliations:
Dipartimento di Matematica e Informatica, Università di Salerno, Fisciano (SA), Italy;Dipartimento di Matematica e Informatica, Università di Salerno, Fisciano (SA), Italy;Dipartimento di Matematica e Applicazioni, Università di Napoli Federico II, Napoli, Italy
Venue:
EUROCAST'05 Proceedings of the 10th international conference on Computer Aided Systems Theory
Year:
2005

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Abstract

For a class of stationary Gaussian processes and for large correlation times, the asymptotic behavior of the upcrossing first passage time probability densities is investigated. Parallel simulations of sample paths of special stationary Gaussian processes for large correlations times provide a statistical validation of the theoretical results.