Abstract
Probabilities for Wiener and Bessel processes to cross a square root boundary are calculated and the Mellin transform of the distribution of the associated stopping time is given.The transform is inverted and a table of critical values for the crossing probability as a function of the observation time is included. Also an analytic expression for the crossing probability is computed for the case of constant drift.
Keywords
Bessel functionBessel processSquare rootMathematicsBoundary (topology)Mellin transformMathematical analysisConstant (computer programming)Square (algebra)Expression (computer science)StatisticsGeometryLaplace transformComputer scienceOrthogonal polynomials
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Publication Info
- Year
- 1981
- Type
- article
- Volume
- 10
- Issue
- 21
- Pages
- 2197-2213
- Citations
- 136
- Access
- Closed
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Cite This
David M. De Long
(1981).
Crossing probabilities for a square root boundary by a bessel process.
Communication in Statistics- Theory and Methods
, 10
(21)
, 2197-2213.
https://doi.org/10.1080/03610928108828182
Identifiers
- DOI
- 10.1080/03610928108828182