{"title":"Asymptotic of the running maximum distribution of a Gaussian Bridge","authors":"M. Abundo","doi":"10.1080/07362994.2022.2123344","DOIUrl":null,"url":null,"abstract":"Abstract We study the tail behavior of the distribution of the running maximum of a zero mean Gaussian Bridge obtained from a continuous Gaussian process X(t) with by conditioning X(t) to have the value zero at time T. Some explicit examples are shown.","PeriodicalId":49474,"journal":{"name":"Stochastic Analysis and Applications","volume":" ","pages":""},"PeriodicalIF":0.8000,"publicationDate":"2022-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stochastic Analysis and Applications","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/07362994.2022.2123344","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 0
Abstract
Abstract We study the tail behavior of the distribution of the running maximum of a zero mean Gaussian Bridge obtained from a continuous Gaussian process X(t) with by conditioning X(t) to have the value zero at time T. Some explicit examples are shown.
期刊介绍：
Stochastic Analysis and Applications presents the latest innovations in the field of stochastic theory and its practical applications, as well as the full range of related approaches to analyzing systems under random excitation. In addition, it is the only publication that offers the broad, detailed coverage necessary for the interfield and intrafield fertilization of new concepts and ideas, providing the scientific community with a unique and highly useful service.
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