Skip to content
We derive asymptotic behavior of the probability of high-level excursion for the maximal increment of the Wiener process.
Branch: master
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Type Name Latest commit message Commit time
Failed to load latest commit information.
Extremes-of-Shepp-Statistics-for-the-Wiener-Process.pdf
README.md

README.md

Extremes of Shepp statistics for the Wiener process

Abstract

We derive asymptotic behavior of the probability of high-level excursion for the maximal increment of the Wiener process. The result is essential for deriving the corresponding asymptotic formula for maximal increments of a Gaussian random walk, and also has potential applications in finance and insurance.

Supplementary materials

This article has no supplementary materials.

Reference

Zholud, D. (2008). Extremes of Shepp statistics for the Wiener process, Extremes, Vol. 11, No. 4, pp. 339-351.

BiBTeX

@article{Zholud2008,
  Author = {Zholud, D.},
  Year = {2008},
  Title = {Extremes of Shepp statistics for the Wiener process},
  Journal = {Extremes},
  Volume = {11},
  Number = {4},
  Pages = {339--351}
}

Update 2018

You can’t perform that action at this time.