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arXiv · 1608.01133

The boundary non-Crossing probabilities for Slepian process

Pingjin Deng
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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.

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BibTeXRIS

Pingjin Deng. 2016-08-03. The boundary non-Crossing probabilities for Slepian process. https://arxiv.org/abs/1608.01133

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