Vol. 78, No. 2, 1978

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Distribution estimates of barrier-crossing probabilities of the Yeh-Wiener process

Chull Park and David Lee Skoug

Vol. 78 (1978), No. 2, 455–466
Abstract

Let Q = [0,S] × [0,T] be a rectangle and {X(s,t);s,t 0} be the two-parameter Yeh-Wiener process. This paper finds probabilities of X(s,t) crossing barriers of the type ast + bs + ct + d on the boundary ∂Q. These probabilities give lower bounds for the yet unknown probabilities of X(s,t) crossing ast + bs + ct + d on Q. The paper also discusses sharper bounds for the latter probabilities.

Mathematical Subject Classification 2000
Primary: 60J65
Secondary: 60G15
Milestones
Received: 30 October 1977
Revised: 9 March 1978
Published: 1 October 1978
Authors
Chull Park
David Lee Skoug