January 1, 1981

Crossing probabilities for a square root boundary by a bessel process

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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.

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David M. De Long (Thu,) studied this question.

synapsesocial.com/papers/6a0f18ee4994b59e77425b63 https://doi.org/https://doi.org/10.1080/03610928108828182

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