Receiver operating characteristic curves for a simple stochastic process that carries a static signal

The detection of a weak signal in the presence of noise is an important problem that is often studied in terms of the receiver operating characteristic (ROC) curve, in which the probability of correct detection is plotted against the probability for a false positive. This kind of analysis is typically applied to the situation in which signal and noise are stochastic variables; the detection problem emerges, however, also often in a context in which both signal and noise are stochastic processes and the (correct or false) detection is said to take place when the process crosses a threshold in a given time window. Here we consider the problem for a combination of a static signal which has to be detected against a dynamic noise process, the well-known Ornstein-Uhlenbeck process. We give exact (but difficult to evaluate) quadrature expressions for the detection rates for false positives and correct detections, investigate systematically a simple sampling approximation suggested earlier, compare to an approximation by Stratonovich for the limit of high threshold, and briefly explore the case of multiplicative signal; all theoretical results are compared to extensive numerical simulations of the corresponding Langevin equation. Our results demonstrate that the sampling approximation provides a reasonable description of the ROC curve for this system, and it clarifies limit cases for the ROC curve.