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Kybernetika 39(3):299-306, 2003.

Approximations for the Maximum of Stochastic Processes with Drift.

István Berkes and Lajos Horváth


Abstract:

If a stochastic process can be approximated with a Wiener process with positive drift, then its maximum also can be approximated with a Wiener process with positive drift.


Keywords: drift; Wiener process; partial sums;


AMS: 60G17; 60F17;


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BIB TeX

@article{kyb:2003:3:299-306,

author = {Berkes, Istv\'{a}n and Horv\'{a}th, Lajos},

title = {Approximations for the Maximum of Stochastic Processes with Drift.},

journal = {Kybernetika},

volume = {39},

year = {2003},

number = {3},

pages = {299-306}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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