05069539

a

05069539 Giorno, Virginia Nobile, Amelia G. Pirozzi, Enrica Upcrossing first passage times for correlated Gaussian processes. Moreno D\'\i az, Roberto (ed.) et al., Computer aided systems theory -- EUROCAST 2005. 10th international conference on computer aided systems theory, Las Palmas de Gran Canaria, Spain, February 7--11, 2005. Revised selected papers. Berlin: Springer (ISBN 3-540-29002-8/pbk). Lecture Notes in Computer Science 3643, 447-456 (2005). 2005 Berlin: Springer EN

doi:10.1007/11556985

Summary: For a class of stationary Gaussian processes and for large correlation times, the asymptotic behavior of the upcrossing first passage time probability densities is investigated. Parallel simulations of sample paths of special stationary Gaussian processes for large correlations times provide a statistical validation of the theoretical results.