The boundary non-Crossing probabilities for Slepian process
Probability
2016-08-04 v1 Statistics Theory
Mathematical Finance
Risk Management
Statistics Theory
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.
Cite
@article{arxiv.1608.01133,
title = {The boundary non-Crossing probabilities for Slepian process},
author = {Pingjin Deng},
journal= {arXiv preprint arXiv:1608.01133},
year = {2016}
}