Boundary non-crossing probabilities for Slepian process

DOI10.1016/J.SPL.2016.10.026MaRDI QIDQ504449zbMATHOpenAlexFDO

Authors 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)

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.

Recommendations

• Boundary crossing probabilities for (q,d)-Slepian-processes
• Crossing probabilities for diffusion processes with piecewise continuous boundaries
• Brownian Type Boundary Crossing Probabilities for Piecewise Linear Boundary Functions
• Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics
• Boundary crossing probability for Brownian motion and general boundaries

Cites work

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

Cited in

(7)

• On double-boundary non-crossing probability for a class of compound processes with applications
• Non-simple SLE curves are not determined by their range
• Approximating Shepp's constants for the Slepian process
• Ramp crossings for Slepian's process (Corresp.)
• First passage times for Slepian process with linear and piecewise linear barriers
• Boundary crossing probabilities for \((q,d)\)-Slepian-processes
• Barrier options pricing with joint distribution of Gaussian process and its maximum

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q504449)