Crossing probabilities for a square root boundary by a bessel process
- 1 January 1981
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 10 (21) , 2197-2213
- https://doi.org/10.1080/03610928108828182
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
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