The boundary non-Crossing probabilities for Slepian process

Pingjin Deng

Papers from arXiv.org

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.

Date: 2016-08
New Economics Papers: this item is included in nep-cse
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1608.01133

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