On the evaluation of first passage time densities for Gaussian processes

Signal Processing

Volumn 11, Issue 4, 1986, Pages 339-357

  Ricciardi, Luigi M ^a   Sato, Shunsuke ^b  

^a UNIVERSITY OF NAPLES FEDERICO II   (Italy)

^b UNIVERSITY OF SALERNO   (Italy)

Author keywords

differentiable trajectories; first passage time; Random process

Indexed keywords

ASYMPTOTIC EXPRESSIONS; FIRST PASSAGE TIME; GAUSSIAN PROCESSES; PROBABILITY DENSITY FUNCTION; SERIES EXPANSION;

PROBABILITY;

EID: 0022893113     PISSN: 01651684     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1684(86)90076-9     Document Type: Article

References (12)

1. On the numerical solution of Brownian motion processes
2. Level-crossing problems for random processes
3. Boundary crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov-test
4. On the distribution of values of trigonometric sums with linearly independent frequencies
5. The distribution of intervals between zeros of a stationary random function
6. Diffusion Processes and Related Topics In Biology
7. A note on first passage time problems for Gaussian processes and varying boundaries
8. Diffusion approximation and first passage time problem for a model neuron, Part II. Outline of a computation method
9. The mathematical analysis of random noise
10. First passage time for a particular Gaussian process
11. First passage time for a particular Gaussian process