Crossing probabilities for a square root boundary by a bessel process

DOI10.1080/03610928108828182zbMath0467.60070OpenAlexW1967138568MaRDI QIDQ3920395

Publication date: 1981

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928108828182

zbMATH Keywords

Wiener process Bessel process stopping time Kolmogorov test repeated significance test stopping time distributions

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Diffusion processes (60J60) General theory of stochastic processes (60G07) Sequential statistical analysis (62L10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work