Počet záznamů: 1
Asymptotics of Two-boundary First-exit-time Densities for Gauss-Markov Processes
- 1.0509186 - FGÚ 2020 RIV US eng J - Článek v odborném periodiku
D´Onofrio, Giuseppe - Pirozzi, E.
Asymptotics of Two-boundary First-exit-time Densities for Gauss-Markov Processes.
Methodology and Computing in Applied Probability. Roč. 21, č. 3 (2019), s. 735-752. ISSN 1387-5841. E-ISSN 1573-7713
Grant CEP: GA ČR(CZ) GA17-06943S
Institucionální podpora: RVO:67985823
Klíčová slova: first passage time problem * Ornstein-Uhlenbeck process * time-dependent boundaries * Gauss-Markov processes
Obor OECD: Applied mathematics
Impakt faktor: 0.809, rok: 2019
Způsob publikování: Omezený přístup
https://link.springer.com/article/10.1007%2Fs11009-018-9617-4
The problem of escape times from a region confined by two time-dependent boundaries is considered for a class of Gauss-Markov processes. Asymptotic approximations of the first exit time probability density functions in case of asymptotically constant and asymptotically periodic boundaries are obtained firstly for the Ornstein-Uhlenbeck process and then extended to the class of Gauss-Markov processes that can be obtained by a specified transformation. Some examples of application to stochastic dynamics and estimations of involved parameters by using numerical approximations are provided.
Trvalý link: http://hdl.handle.net/11104/0299943
Počet záznamů: 1