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Upcrossing First Passage Times for Correlated Gaussian Processes

  • Virginia Giorno
  • Amelia G. Nobile
  • Enrica Pirozzi
Part of the Lecture Notes in Computer Science book series (LNCS, volume 3643)

Abstract

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.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Virginia Giorno
    • 1
  • Amelia G. Nobile
    • 1
  • Enrica Pirozzi
    • 2
  1. 1.Dipartimento di Matematica e InformaticaUniversità di SalernoFisciano (SA)Italy
  2. 2.Dipartimento di Matematica e ApplicazioniUniversità di Napoli Federico IINapoliItaly

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