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.