TY  - JOUR
A1  - Schwarz, Wolfgang
A1  - Miller, Jeff O.
T1  - Locking the Wiener process to its level-crossing time
N2  - We consider the specific transformation of a Wiener process {X(t), t >= 0} in the presence of an absorbing barrier a that results when this process is "time-locked" with respect to its first passage time T-a through a criterion level a, and the evolution of X(t) is considered backwards ( retrospectively) from T-a. Formally, we study the random variables defined by Y(t) = X(T-a - t) and derive explicit results for their density and mean, and also for their asymptotic forms. We discuss how our results can aid interpretations of time series "response-locked" to their times of crossing a criterion level.
Y1  - 2010
UR  - https://publishup.uni-potsdam.de/frontdoor/index/index/docId/31462
UR  - http://www.informaworld.com/smpp/section?content=a917389654&fulltext=713240928
SN  - 0361-0926
ER  -