The distribution and quantiles of the range of a Wiener process

Christopher S. Withers and Saralees Nadarajah

Applied Mathematics and Computation, 2014, vol. 232, issue C, 766-770

Abstract: Feller (1951) [3] gave an expansion for the probability density function of the range of a Wiener process, but did not table its cumulative distribution function. We give an expansion for its cumulative distribution function and table this function and its quantiles.

Keywords: Hurst effect; Kolmogorov–Smirnov statistic; Quantiles; Range; Wiener process (search for similar items in EconPapers)
Date: 2014
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0096300314001933
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:232:y:2014:i:c:p:766-770

DOI: 10.1016/j.amc.2014.01.147

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().