First Passage Time for a Particular Gaussian Process
Work
Year: 1971
Type: article
Abstract: We find an explicit formula for the first passage probability, $Q_a(T | x) = P_r(S(t) < a, 0 \leqq t \leqq T | S(0) = x)$, for all $T > 0$, where $S$ is the Gaussian process with mean zero and covaria... more
Author L. A. Shepp
Cites: 5
Cited by: 75
Related to: 10
FWCI: 1.47
Citation percentile (by year/subfield): 94.02
Subfield: Mathematical Physics
Field: Mathematics
Domain: Physical Sciences
Open Access status: gold