We study the tail behavior of the distribution of the running maximum of a zero mean Gaussian Bridge vðtÞ, obtained from a continuous Gaussian process X(t) with Xð0Þ ¼ 0, by conditioning X(t) to have the value zero at time T. Some explicit examples are shown.
Abundo, M.r. (2022). Asymptotic of the running maximum distribution of a Gaussian Bridge. STOCHASTIC ANALYSIS AND APPLICATIONS, 1-20 [10.1080/07362994.2022.2123344].
Asymptotic of the running maximum distribution of a Gaussian Bridge
Mario Abundo
2022-01-01
Abstract
We study the tail behavior of the distribution of the running maximum of a zero mean Gaussian Bridge vðtÞ, obtained from a continuous Gaussian process X(t) with Xð0Þ ¼ 0, by conditioning X(t) to have the value zero at time T. Some explicit examples are shown.File in questo prodotto:
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