First passage time probability densities through two symmetric constant boundaries are analyzed by using a suitable algorithm for simulating sample paths of stationary normal processes possessing rational spectral densities. A comparison with the analogous results for standard Wiener process is provided and the effect of covariance's oscillatory components and of the geometry of the boundaries on the shape of FPT densities is pintpoited.
On FPT densities of normal processes with an oscillatory covariance / E., DI NARDO; Pirozzi, Enrica; Rinaldi, Silvana. - In: RENDICONTO DELL'ACCADEMIA DELLE SCIENZE FISICHE E MATEMATICHE. - ISSN 0370-3568. - STAMPA. - LXIII:Serie IV(1996), pp. 179-192.
On FPT densities of normal processes with an oscillatory covariance
PIROZZI, ENRICA;RINALDI, SILVANA
1996
Abstract
First passage time probability densities through two symmetric constant boundaries are analyzed by using a suitable algorithm for simulating sample paths of stationary normal processes possessing rational spectral densities. A comparison with the analogous results for standard Wiener process is provided and the effect of covariance's oscillatory components and of the geometry of the boundaries on the shape of FPT densities is pintpoited.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
