Boundary non-crossing probabilities for Slepian process

DOI10.1016/j.spl.2016.10.026zbMath1386.60136arXiv1608.01133OpenAlexW2963222184MaRDI QIDQ504449

Ping-Jin Deng

Publication date: 16 January 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.01133

zbMATH Keywords

Gaussian processesboundary non-crossing probabilitiespiecewise linear boundarySlepian processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (2)

BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM ⋮ First passage times for Slepian process with linear and piecewise linear barriers

Cites Work

• Boundary crossing probabilities for \((q,d)\)-Slepian-processes
• Analysis of a change-point regression problem in quality control by partial sums processes and Kolmogorov type tests
• Boundary non-crossings of Brownian pillow
• The asymptotic distribution of the scan statistic under uniformity
• Passages and maxima for a particular Gaussian process
• Asymptotics of a boundary crossing probability of a Brownian bridge with general trend
• On the power of the Kolmogorov test to detect the trend of a Brownian bridge with applications to a change-point problem in regression models.
• Exact asymptotics for boundary crossings of the Brownian bridge with trend with application to the Kolmogorov test
• Exact asymptotics for boundary crossing probabilities of Brownian motion with piecewise linear trend
• Karhunen-Loève expansion for additive Slepian processes
• The Slepian zero set, and Brownian bridge embedded in Brownian motion by a spacetime shift
• The Brownian movement and stochastic equations
• Boundary non-crossing probabilities for fractional Brownian motion with trend
• Ramp crossings for Slepian's process (Corresp.)
• Small ball probabilities for the Slepian Gaussian fields
• On the maximum of gaussian fourier series emerging in the analysis of random vibrations
• First Passage Time for a Particular Gaussian Process
• First-passage time for a particular stationary periodic Gaussian process
• Remarks on “boundary crossing result for brownian motion”
• Boundary crossing probability for Brownian motion and general boundaries
• An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
• On the threshold effect in radar range estimation (Corresp.)
• First Passage Time for a Particular Gaussian Process
• Reciprocal Processes: The Stationary Gaussian Case

This page was built for publication: Boundary non-crossing probabilities for Slepian process