Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon.
Janssen, A.J.E.M; Van Leeuwaarden, J.S.H.
Electronic Communications in Probability [electronic only] (2009)
- Volume: 14, page 143-150
- ISSN: 1083-589X
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topJanssen, A.J.E.M, and Van Leeuwaarden, J.S.H.. "Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon.." Electronic Communications in Probability [electronic only] 14 (2009): 143-150. <http://eudml.org/doc/229661>.
@article{Janssen2009,
author = {Janssen, A.J.E.M, Van Leeuwaarden, J.S.H.},
journal = {Electronic Communications in Probability [electronic only]},
keywords = {Gaussian random walk; maximum; Riemann zeta function; Euler-MacLaurin summation; equidistant sampling of Brownian motion; finite horizon},
language = {eng},
pages = {143-150},
publisher = {University of Washington},
title = {Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon.},
url = {http://eudml.org/doc/229661},
volume = {14},
year = {2009},
}
TY - JOUR
AU - Janssen, A.J.E.M
AU - Van Leeuwaarden, J.S.H.
TI - Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon.
JO - Electronic Communications in Probability [electronic only]
PY - 2009
PB - University of Washington
VL - 14
SP - 143
EP - 150
LA - eng
KW - Gaussian random walk; maximum; Riemann zeta function; Euler-MacLaurin summation; equidistant sampling of Brownian motion; finite horizon
UR - http://eudml.org/doc/229661
ER -
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