Asymptotic of the running maximum distribution of a Gaussian Bridge

被引：0
|
作者：
Abundo, Mario [1 ]
机构：
[1] Univ Tor Vergata, Dipartimento Matemat, Via Ric Sci, I-00133 Rome, Italy
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2023年 / 41卷 / 06期
关键词：
Diffusion; Gaussian process; Gauss-Markov process; Gaussian bridge; SUPREMUM;
D O I：
10.1080/07362994.2022.2123344
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study the tail behavior of the distribution of the running maximum of a zero mean Gaussian Bridge x(t), obtained from a continuous Gaussian process X(t) with X(0) = 0, by conditioning X(t) to have the value zero at time T. Some explicit examples are shown.
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页码：1099 / 1118
页数：20
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