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.
This work has been performed under partial support by MIUR (PRIN 2003) and by GNCS-INdAM.
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Giorno, V., Nobile, A.G., Pirozzi, E. (2005). Upcrossing First Passage Times for Correlated Gaussian Processes. In: Moreno Díaz, R., Pichler, F., Quesada Arencibia, A. (eds) Computer Aided Systems Theory – EUROCAST 2005. EUROCAST 2005. Lecture Notes in Computer Science, vol 3643. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11556985_58
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DOI: https://doi.org/10.1007/11556985_58
Publisher Name: Springer, Berlin, Heidelberg
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