Boundary non-crossing probabilities for Slepian process

DOI10.1016/J.SPL.2016.10.026zbMATH Open1386.60136arXiv1608.01133OpenAlexW2963222184MaRDI QIDQ504449FDOQ504449

Authors: Ping-Jin Deng 

Publication date: 16 January 2017

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

Abstract: In this contribution we derive an explicit formula for the boundary non-crossing probabilities for Slepian processes associated with the piecewise linear boundary function. This formula is used to develop an approximation formula to the boundary non-crossing probabilities for general continuous boundaries. The formulas we developed are easy to implement in calculation the boundary non-crossing probabilities.

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

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zbMATH Keywords

Gaussian processesboundary non-crossing probabilitiespiecewise linear boundarySlepian processes

Mathematics Subject Classification ID

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

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Cited In (6)

• Non-simple SLE curves are not determined by their range
• First passage times for Slepian process with linear and piecewise linear barriers
• Approximating Shepp's constants for the Slepian process
• On double-boundary non-crossing probability for a class of compound processes with applications
• BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM
• Ramp crossings for Slepian's process (Corresp.)

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