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International Conference on Computer Aided Systems Theory

EUROCAST 1997: Computer Aided Systems Theory — EUROCAST'97 pp 177–188Cite as

Vectorized simulations of normal processes for first crossing-time problems

  • 2 Theory and Methods
  • Conference paper
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Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 1333))

Abstract

The problem of evaluating first crossing probability densities for stationary normal processes possessing a rational spectral density is approached by means of an effective simulation procedure. We focus our attention on the case of pairs of smooth boundaries, a constant and a periodic one, and on processes possessing two-parameter oscillatory covariances. On the base of the results yielded by our simulations, conclusions are drawn on the effects of the periodic components of covariance and boundaries on shape and features of the first crossing densities.

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References

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Author information

Authors and Affiliations

  1. Dipartimento di Matematica, Università della Basilicata, Via N. Sauro 85, Potenza

    E. Di Nardol

  2. Dipartimento di Ingegneria Elettronica e Matematica Applicata, Università di Reggio Calabria, Via Cuzzocrea 48, Reggio Calabria

    E. Pirozzi

  3. Dipartimento di Matematica e Applicazioni, Universi`a di Napoli “Federico II”, Via Cintia, Napoli

    L. M. Ricciardi & S. Rinaldi

Authors
  1. E. Di Nardol
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  2. E. Pirozzi
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  3. L. M. Ricciardi
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  4. S. Rinaldi
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Editor information

Franz Pichler Roberto Moreno-Díaz

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© 1997 Springer-Verlag Berlin Heidelberg

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Di Nardol, E., Pirozzi, E., Ricciardi, L.M., Rinaldi, S. (1997). Vectorized simulations of normal processes for first crossing-time problems. In: Pichler, F., Moreno-Díaz, R. (eds) Computer Aided Systems Theory — EUROCAST'97. EUROCAST 1997. Lecture Notes in Computer Science, vol 1333. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0025043

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  • DOI: https://doi.org/10.1007/BFb0025043

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-63811-7

  • Online ISBN: 978-3-540-69651-3

  • eBook Packages: Springer Book Archive

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