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Computer-aided simulations of Gaussian processes and related asymptotic properties.

Contributo in Atti di convegno
Data di Pubblicazione:
2001
Abstract:
A parallel algorithm is implemented to simulate sample paths of stationary normal processes possessing a Butterworth-type covariance, in order to investigate asymptotic properties of the first passage time probability densities for time-varying boundaries. After a self-contained outline of the simulation procedure, computational results are included to show that for large times and for large boundaries the first passage time probability density through an asymptotically periodic boundary is exponentially distributed to an excellent degree of approximation.
Tipologia CRIS:
04A-Conference paper in volume
Elenco autori:
DI NARDO, Elvira; Nobile, A. G.; Pirozzi, E.; Ricciardi, L. M.
Autori di Ateneo:
DI NARDO Elvira
Link alla scheda completa:
https://iris.unito.it/handle/2318/1561372
Titolo del libro:
Computer Aided Systems Theory - EUROCAST 2001 - Revised selected papers
Pubblicato in:
LECTURE NOTES IN COMPUTER SCIENCE
Journal
LECTURE NOTES IN COMPUTER SCIENCE
Series
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URL

http://www.springerlink.com/content/wae3tnmcu67mrfl5/
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