On the asymptotic behavior of first passage time densities for stationary Gaussian processes

E. Di Nardo, A. G. Nobile, E. Pirozzi, L. M. Ricciardi

Published 2003-05-16, updated 2003-05-30Version 2

Making use of a Rice-like series expansion, for a class of stationary Gaussian processes the asymptotic behavior of the first passage time probability density function through certain time-varying boundaries, including periodic boundaries, is determined. Sufficient conditions are then given such that the density asymptotically exhibits an exponential behavior when the boundary is either asymptotically constant or asymptotically periodic.