Boundary crossing probabilities for (q,d)-Slepian-processes
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Abstract
g(t)for some t∈[q,d]), qSuggested Citation
Bischoff, Wolfgang & Gegg, Andreas, 2016. "Boundary crossing probabilities for (q,d)-Slepian-processes," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 139-144. Handle: RePEc:eee:stapro:v:118:y:2016:i:c:p:139-144
DOI: 10.1016/j.spl.2016.06.023
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References listed on IDEAS
- Liu, Jin V. & Huang, Zongfu & Mao, Hongjun, 2014. "Karhunen–Loève expansion for additive Slepian processes," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 93-99.
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Cited by:
- Deng, Pingjin, 2017. "Boundary non-crossing probabilities for Slepian process," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 28-35.
- Pingjin Deng & Xiufang Li, 2017. "Barrier Options Pricing With Joint Distribution Of Gaussian Process And Its Maximum," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-18, September.
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Keywords
Gaussian process; Slepian-process; Boundary crossing probability;All these keywords.
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