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

[31] FRACTIONAL RELAXATION EQUATIONS AND BROWNIAN CROSSING PROBABILITIES OF A RANDOM BOUNDARY
Beghin, L.
ADVANCES IN APPLIED PROBABILITY, 2012, 44 (02) : 479 - 505
[32] Boundary crossing probabilities of Poisson counting processes with general boundaries
Lehmann, A
ADVANCES IN STOCHASTIC MODELS FOR RELIABILITY, QUALITY AND SAFETY, 1998, : 153 - 166
[33] Large Deviations for the Boundary Crossing Probabilities of Some Random Fields
姚琦伟
数学研究与评论, 1989, (02) : 181 - 192
[34] Boundary crossing probabilities for (q, d)-Slepian-processes
Bischoff, Wolfgang
Gegg, Andreas
STATISTICS & PROBABILITY LETTERS, 2016, 118 : 139 - 144
[35] First passage densities and boundary crossing probabilities for diffusion processes
Downes, Andrew N.
Borovkov, Konstantin
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2008, 10 (04) : 621 - 644
[36] Approximations of the boundary crossing probabilities for the maximum of moving weighted sums
Noonan, Jack
Zhigljavsky, Anatoly
STATISTICAL PAPERS, 2018, 59 (04) : 1325 - 1337
[37] Squared Bessel Processes and Their Applications to the Square Root Interest Rate Model
Hiroshi Shirakawa
Asia-Pacific Financial Markets, 2002, 9 (3-4) : 169 - 190
[38] Fast maximum likelihood estimation of parameters for square root and Bessel processes
Fergusson, Kevin
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2021, 25 (04): : 143 - 170
[39] Square root singularity in boundary reflection matrix
Kim, JD
Koh, IG
PHYSICS LETTERS B, 1996, 388 (03) : 550 - 556
[40] Square root singularity in boundary reflection matrix
Kim, J. D.
Koh, I. G.
Physics Letters. Section B: Nuclear, Elementary Particle and High-Energy Physics, 388 (03):

← 1 2 3 4 5 →