Crossing probabilities for a square root boundary by a bessel process
Crossing probabilities for a square root boundary by a bessel process
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通过贝塞尔过程计算平方根边界的交叉概率
DOI：
10.1080/03610928108828182
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发表时间：
1981
影响因子：
0.8
通讯作者：
David M. De Long
中科院分区：
文献类型：
--
作者：
David M. De Long
本文计算了Wiener和Bessel过程越过平方根边界的概率，给出了相应停时分布的Mellin变换，并将变换逆作，列出了越过概率随观测时间变化的临界值表。对于常值漂移的情况，还计算了交叉概率的解析表达式。
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.