CROSSING PROBABILITIES FOR A SQUARE ROOT BOUNDARY BY A BESSEL PROCESS

被引：77
|
作者：
DELONG, DM
机构：
来源：
COMMUNICATIONS IN STATISTICS PART A-THEORY AND METHODS | 1981年 / 10卷 / 21期
关键词：
D O I：
10.1080/03610928108828182
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
引用
收藏
页码：2197 / 2213
页数：17
相关论文
共 50 条
  • [21] Computing Boundary Crossing Probabilities of General Empirical Processes
    Galgana, Rigel
    Oyakawat, Takehiro
    Greenwal, Amy
    SIAM CONFERENCE ON APPLIED AND COMPUTATIONAL DISCRETE ALGORITHMS, ACDA23, 2023, : 237 - 246
  • [22] RENEWAL SERIES AND SQUARE-ROOT BOUNDARIES FOR BESSEL PROCESSES
    Enriquez, Nathanael
    Sabot, Christophe
    Yor, Marc
    ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2008, 13 : 649 - 652
  • [23] Further studies on square-root boundaries for Bessel processes
    Alili, Larbi
    Matsumoto, Hiroyuki
    ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2018, 23
  • [24] Riemann-Hilbert approach to gap probabilities for the Bessel process
    Girotti, Manuela
    PHYSICA D-NONLINEAR PHENOMENA, 2015, 295 : 103 - 121
  • [25] First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes
    Andrew N. Downes
    Konstantin Borovkov
    Methodology and Computing in Applied Probability, 2008, 10 : 621 - 644
  • [26] Approximations for the Boundary Crossing Probabilities of Moving Sums of Random Variables
    Noonan, Jack
    Zhigljavsky, Anatoly
    METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2021, 23 (03) : 873 - 892
  • [27] Approximations for the Boundary Crossing Probabilities of Moving Sums of Random Variables
    Jack Noonan
    Anatoly Zhigljavsky
    Methodology and Computing in Applied Probability, 2021, 23 : 873 - 892
  • [28] BOUNDARY CROSSING PROBABILITIES FOR HIGH-DIMENSIONAL BROWNIAN MOTION
    Fu, James C.
    Wu, Tung-Lung
    JOURNAL OF APPLIED PROBABILITY, 2016, 53 (02) : 543 - 553
  • [29] Approximations of the boundary crossing probabilities for the maximum of moving weighted sums
    Jack Noonan
    Anatoly Zhigljavsky
    Statistical Papers, 2018, 59 : 1325 - 1337
  • [30] BOUNDARY CROSSING PROBABILITIES ASSOCIATED WITH MOTOOS LAW OF ITERATED LOGARITHM
    WICHURA, MJ
    ANNALS OF PROBABILITY, 1973, 1 (03): : 437 - 456
12345