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Computer-Aided Simulations of Gaussian Processes and Related Asymptotic Properties

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Computer Aided Systems Theory — EUROCAST 2001 (EUROCAST 2001)

Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 2178))

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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.

This work has been performed within a joint cooperation agreement between Japan Science and Technology Corporation (JST) and Universit`a di Napoli Federico II, under partial support by National Research Council (CNR) and by Ministry of University and of Scientific and Technological Research (MURST).

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References

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Author information

Authors and Affiliations

  1. Dipartimento di Matematica, Contrada Macchia Romana, Potenza, Italia

    Elvira Di Nardo

  2. Dipartimento di Matematica e Informatica, Via S. Allende, Salerno, Italia

    Amelia G. Nobile

  3. Dipartimento di Informatica, Matematica, Elettronica e Trasporti, Via Graziella, Reggio Calabria, Italia

    Enrica Pirozzi

  4. Dipartimento di Matematica e Applicazioni, Via Cintia, Napoli, Italia

    Luigi M. Ricciardi

Authors
  1. Elvira Di Nardo
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  2. Amelia G. Nobile
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  3. Enrica Pirozzi
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  4. Luigi M. Ricciardi
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Editor information

Editors and Affiliations

  1. Universidad de Las Palmas de Gran Canaria, Instituto Universitario de Ciencias y Tecnologías Cibernéticas, Campus de Tafira, 35017, Las Palmas de Gran Canaria, Spain

    Roberto Moreno-Díaz

  2. University of Linz, Research Institute for Symbolic Computation, 232, Schloss Hagenberg, Austria

    Bruno Buchberger

  3. University ofA Coruña, Facultad de Informática, LFCIA, Dpto. of Computer Science, Campus de Elviña, 15071, A Coruña, Spain

    José Luis Freire

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© 2001 Springer-Verlag Berlin Heidelberg

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Di Nardo, E., Nobile, A.G., Pirozzi, E., Ricciardi, L.M. (2001). Computer-Aided Simulations of Gaussian Processes and Related Asymptotic Properties. In: Moreno-Díaz, R., Buchberger, B., Luis Freire, J. (eds) Computer Aided Systems Theory — EUROCAST 2001. EUROCAST 2001. Lecture Notes in Computer Science, vol 2178. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-45654-6_6

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  • DOI: https://doi.org/10.1007/3-540-45654-6_6

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-42959-3

  • Online ISBN: 978-3-540-45654-4

  • eBook Packages: Springer Book Archive

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