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Boundary crossing probabilities for (q,d)-Slepian-processes

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  • Bischoff, Wolfgang
  • Gegg, Andreas

Abstract

For 0g(t)for some t∈[q,d]), q

Suggested 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

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    1. 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:

    1. Deng, Pingjin, 2017. "Boundary non-crossing probabilities for Slepian process," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 28-35.
    2. 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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    1. Deng, Pingjin, 2017. "Boundary non-crossing probabilities for Slepian process," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 28-35.
    2. Wolfgang Bischoff & Andreas Gegg, 2016. "The Cameron–Martin Theorem for (p-)Slepian Processes," Journal of Theoretical Probability, Springer, vol. 29(2), pages 707-715, June.

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