Boundary non-crossings of Brownian pillow
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Publication:966499
Abstract: Let B_0(s,t) be a Brownian pillow with continuous sample paths, and let h,u:[0,1]^2 o R be two measurable functions. In this paper we derive upper and lower bounds for the boundary non-crossing probability psi(u;h):=P{B_0(s,t)+h(s,t) le u(s,t), forall s,tin [0,1]}. Further we investigate the asymptotic behaviour of with tending to infinity, and solve a related minimisation problem.
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Cites work
- scientific article; zbMATH DE number 991499 (Why is no real title available?)
- scientific article; zbMATH DE number 1149768 (Why is no real title available?)
- scientific article; zbMATH DE number 1895168 (Why is no real title available?)
- scientific article; zbMATH DE number 782652 (Why is no real title available?)
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Cited in
(8)- Statistical inference on a changing extreme value dependence structure
- Boundary non-crossing probabilities for fractional Brownian motion with trend
- Boundary noncrossings of additive Wiener fields
- Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics
- An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
- Boundary non-crossing probabilities for Slepian process
- The joint distribution of running maximum of a Slepian process
- Accessing the power of tests based on set-indexed partial sums of multivariate regression residuals
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