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Crossing probabilities for a square root boundary by a bessel process
Authors:David M. De Long
Affiliation:SAS Institute Cary , North Carolina
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.
Keywords:Bessel process  Kolmogorov test  repeated significance testing  stopping times  Wiener process
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