| Title:
|
Approximations for the maximum of stochastic processes with drift (English) |
| Author:
|
Berkes, István |
| Author:
|
Horváth, Lajos |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
39 |
| Issue:
|
3 |
| Year:
|
2003 |
| Pages:
|
[299]-306 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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. (English) |
| Keyword:
|
drift |
| Keyword:
|
Wiener process |
| Keyword:
|
partial sums |
| MSC:
|
60F17 |
| MSC:
|
60G17 |
| idZBL:
|
Zbl 1249.60075 |
| idMR:
|
MR1995734 |
| . |
| Date available:
|
2009-09-24T19:54:01Z |
| Last updated:
|
2015-03-23 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135532 |
| . |
| Reference:
|
[1] Chow Y. S., Hsiung A. C.: Limiting behavior of $ \max _{j \le n} S_j/j^\alpha $ and the first passage times in a random walk with positive drift.Bull. Inst. Math. Acad. Sinica 4 (1976), 35–44 MR 0407948 |
| Reference:
|
[2] Chow Y. S., Hsiung A. C., Yu K. F.: Limit theorems for a positively drifting process and its related first passage times.Bull. Inst. Math. Acad. Sinica 8 (1980), 141–172 Zbl 0441.60075, MR 0595527 |
| Reference:
|
[3] Komlós J., Major, P., Tusnády G.: An approximation of partial sums of independent R.V.’s and the sample D.F.I. Z. Wahrschein. Verw. Gebiete 32 (1975), 111–131 MR 0375412, 10.1007/BF00533093 |
| Reference:
|
[4] Komlós J., Major, P., Tusnády G.: An approximation of partial sums of independent R.V.’s and the sample D.F.I. Z. Wahrsch. Verw. Gebiete 34 (1976), 33–58 MR 0402883, 10.1007/BF00532688 |
| Reference:
|
[5] Major P.: The approximation of partial sums of independent R.V.’s. Z. Wahrsch. Verw. Gebiete 35 (1976), 213–220 Zbl 0338.60031, MR 0415743, 10.1007/BF00532673 |
| Reference:
|
[6] Teicher H.: A classical limit theorem without invariance or reflection.Ann. Probab. 1 (1973), 702–704 Zbl 0262.60013, MR 0350818, 10.1214/aop/1176996897 |
| . |
