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math.ST2019
Approximations for the boundary crossing probabilities of moving sums of random variables
Jack Noonan, Anatoly Zhigljavsky
In this paper we study approximations for the boundary crossing probabilities of moving sums of i.i.d. normal r.v. We approximate a discrete time problem with a continuous time pro…
math.PR2019★ 1 cited
First passage time for Slepian process with linear barrier
Jack Noonan, Anatoly Zhigljavsky
In this paper we extend results of L.A. Shepp by finding explicit formulas for the first passage probability $F_{a,b}(T\, |\, x)={\rm Pr}(S(t)<a+bt \text{ for all } t\in[0,T]\,\, |…