First passage time for Slepian process with linear barrier

MaRDI QIDQ6317233zbMATH OpenFDO

Authors Jack Noonan, A. Zhigljavsky

Publication date 14 April 2019

Abstract: In this paper we extend results of L.A. Shepp by finding explicit formulas for the first passage probability $F_{a,b}(T,|,x)=mPr(S(t)<a+btextforalltin[0,T],,|,,S(0)=x)$, for all $T>0$, where $S(t)$ is a Gaussian process with mean 0 and covariance $mathbbES(t)S(t^{\prime })=max0,1-|t-t^{\prime }|,.$ We then extend the results to the case of piecewise-linear barriers and outline applications to change-point detection problems. Previously, explicit formulas for $F_{a,b}(T,|,x)$ were known only for the cases $b=0$ (constant barrier) or $Tleq1$ (short interval).

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