Une formule pour calculer la distribution du maximum d'un processus stochastique |
| |
Institution: | 1. Latvia University of Life Sciences and Technologies, Liela street 2, Jelgava, LV 3001, Latvia;2. WeAreDots Ltd., Elizabetes street 75, Riga, LV 1050, Latvia |
| |
Abstract: | We give a formula for the distribution of the supremum on an interval of a random process with a real parameter. Our method is based on the number of crossings of a level. Two procedures are described: 1) for processes having C∞ paths; 2) for processes having only continuous paths. The example of stationary Gaussian processes is considered. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|