Asymptotics of Two-boundary First-exit-time Densities for Gauss-Markov Processes

Abstract

The problem of escape times from a region confined by two time-dependent boundaries is considered for a class of Gauss-Markov processes. Asymptotic approximations of the first exit time probability density functions in case of asymptotically constant and asymptotically periodic boundaries are obtained firstly for the Ornstein-Uhlenbeck process and then extended to the class of Gauss-Markov processes that can be obtained by a specified transformation. Some examples of application to stochastic dynamics and estimations of involved parameters by using numerical approximations are provided.