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

DOI10.1016/j.spl.2016.06.023zbMath1353.60038arXiv1607.07260OpenAlexW2462426086MaRDI QIDQ312111

Wolfgang Bischoff, Andreas Gegg

Publication date: 13 September 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.07260

zbMATH Keywords

stationary Gaussian processboundary crossing probabilitySlepian-process

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10)

Related Items (4)

BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM ⋮ First passage times for Slepian process with linear and piecewise linear barriers ⋮ The joint distribution of running maximum of a Slepian process ⋮ Boundary non-crossing probabilities for Slepian process

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• First Passage Time for a Particular Gaussian Process

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