2018
DOI: 10.1017/jpr.2018.39
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First-passage time asymptotics over moving boundaries for random walk bridges

Abstract: We study the asymptotic tail probability of the first-passage time over a moving boundary for a random walk conditioned to return to zero, where the increments of the random walk have finite variance. Typically, the asymptotic tail behavior may be described through a regularly varying function with exponent −1/2, where the impact of the boundary is captured by the slowly varying function. Yet, the moving boundary may have a stronger effect when the tail is considered at a time close to the return point of the … Show more

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Cited by 2 publications
(1 citation statement)
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“…e commonly used theoretical basis for the probabilistic dynamic analysis of bridges under vehicle load is the first-passage criterion [16,17]. e first-passage failure probability is usually estimated based on Rice's level-crossing principle [18]. However, applications of the first-passage theory are mostly concentrated in seismic engineering, while the application to traffic load analysis is relatively insufficient.…”
Section: Introductionmentioning
confidence: 99%
“…e commonly used theoretical basis for the probabilistic dynamic analysis of bridges under vehicle load is the first-passage criterion [16,17]. e first-passage failure probability is usually estimated based on Rice's level-crossing principle [18]. However, applications of the first-passage theory are mostly concentrated in seismic engineering, while the application to traffic load analysis is relatively insufficient.…”
Section: Introductionmentioning
confidence: 99%