Upcrossing Probabilities for Stationary Gaussian Processes
نویسندگان
چکیده
منابع مشابه
Boundary Crossing Probabilities for Stationary Gaussian Processes and Brownian Motion1
Let X(t) be a stationary Gaussian process, /(/) a continuous function, and T a finite or infinite interval. This paper develops asymptotic estimates for P(X(t) > fit), some /er) when this probability is small. After transformation to an Ornstein Uhlenbeck process the results are also applicable to Brownian motion. In that special case, if W(t) is Brownian motion, / is continuously differentiabl...
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ژورنال
عنوان ژورنال: Transactions of the American Mathematical Society
سال: 1969
ISSN: 0002-9947
DOI: 10.2307/1995058