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dc.contributor.authorAtkinson, Michael P.
dc.contributor.authorSingham, Dashi I.
dc.date.accessioned2016-06-03T23:40:18Z
dc.date.available2016-06-03T23:40:18Z
dc.date.issued2015
dc.identifier.citationM.P. Atkinson, D.I. Singham, "Multidimensional hitting time results for Brownian bridges with moving hyperplane boundaries," Statistics and Probability Letters, v.100, (2015), pp. 85-92.
dc.identifier.urihttp://hdl.handle.net/10945/48835
dc.descriptionThe article of record may be found at: http://dx.doi.org/10.1016/j.spl.2015.02.006en_US
dc.description.abstractWe calculate several hitting time probabilities for a correlated multidimensional Brownian bridge process, where the boundaries are hyperplanes that move linearly with time. We compute the probability that a Brownian bridge will cross a moving hyperplane if the end- points of the bridge lie on the same side of the hyperplane at the starting and ending times, and we derive the distribution of the hitting time if the endpoints lie on opposite sides of the moving hyperplane. Our third result calculates the probability that this process remains between two parallel hyperplanes, and we extend this result in the independent case to a hyperrectangle with moving faces. To derive these quantities, we rotate the coordinate axes to transform the problem into a one-dimensional calculation.en_US
dc.format.extent84 p.
dc.language.isoen_US
dc.publisherElsevier
dc.rightsThis publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.en_US
dc.titleMultidimensional hitting time results for Brownian bridges with moving hyperplanar boundariesen_US
dc.typeArticleen_US
dc.contributor.corporateNaval Postgraduate School (U.S.)
dc.contributor.departmentOperations Research (OR)
dc.subject.authorBrownian bridge
dc.subject.authorFirst-passage time
dc.subject.authorHyperplane boundaries


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