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The boundary non-Crossing probabilities for Slepian process

Published 3 Aug 2016 in math.PR, math.ST, q-fin.MF, q-fin.RM, and stat.TH | (1608.01133v1)

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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