On the Estimation of First-Passage Time Densities for a Class of Gauss-Markov Processes
For a class of Gauss-Markov processes the asymptotic behavior of the first passage time (FPT) probability density function (pdf) through certain time-varying boundaries is determined. Computational results for Wiener, Ornstein-Uhlenbeck and Brownian bridge processes are considered to show that the FPT pdf through certain large boundaries exhibits for large times an excellent asymptotic approximation.
KeywordsProbability Density Function Large Time Passage Time Wiener Process Brownian Bridge
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