Permutations, signs and the Brownian bridge

Shlomo Levental

Statistics & Probability Letters, 2000, vol. 46, issue 3, 271-276

Abstract: Let B(t), 0[less-than-or-equals, slant]t[less-than-or-equals, slant]1 be a Brownian Bridge, and let f:[0,1]-->{+1,-1} be a non-random, measurable function. Then for every t[greater-or-equal, slanted]0 the following holds:The result follows from a discrete-time maximal inequality for signs via weak convergence. We will present applications of this result in the area of mathematical finance.

Keywords: Permutations; Signs; The; Brownian; bridge (search for similar items in EconPapers)
Date: 2000
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