The joint distributions of running maximum of a Slepian processes

Pingjin Deng

Papers from arXiv.org

Abstract: Consider the Slepian process $S$ defined by $ S(t)=B(t+1)-B(t),t\in [0,1]$ with $B(t),t\in \R$ a standard Brownian motion.In this contribution we analyze the joint distribution between the maximum $m_{s}=\max_{0\leq u\leq s}S(u)$ certain and the maximum $M_t=\max_{0\leq u\leq t}S(u)$ for $0

Date: 2016-09
New Economics Papers: this item is included in nep-rmg and nep-sog
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