How the maximum of gaussian random walks and fields is influenced by changes of the variances.
Stochastica (1985)
- Volume: 9, Issue: 1, page 75-84
- ISSN: 0210-7821
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topOrsingher, Enzo. "How the maximum of gaussian random walks and fields is influenced by changes of the variances.." Stochastica 9.1 (1985): 75-84. <http://eudml.org/doc/38921>.
@article{Orsingher1985,
abstract = {In this paper we present an analytical proof of the fact that the maximum of gaussian random walks exceeds an arbitrary level b with a probability that is an increasing function of the step variances. An analogous result for stochastic integrals is also obtained.},
author = {Orsingher, Enzo},
journal = {Stochastica},
keywords = {Proceso de Markov; Proceso de Gauss; Varianza; Procesos estocásticos; Máximo; random fields; Gaussian random walks; stochastic integrals},
language = {eng},
number = {1},
pages = {75-84},
title = {How the maximum of gaussian random walks and fields is influenced by changes of the variances.},
url = {http://eudml.org/doc/38921},
volume = {9},
year = {1985},
}
TY - JOUR
AU - Orsingher, Enzo
TI - How the maximum of gaussian random walks and fields is influenced by changes of the variances.
JO - Stochastica
PY - 1985
VL - 9
IS - 1
SP - 75
EP - 84
AB - In this paper we present an analytical proof of the fact that the maximum of gaussian random walks exceeds an arbitrary level b with a probability that is an increasing function of the step variances. An analogous result for stochastic integrals is also obtained.
LA - eng
KW - Proceso de Markov; Proceso de Gauss; Varianza; Procesos estocásticos; Máximo; random fields; Gaussian random walks; stochastic integrals
UR - http://eudml.org/doc/38921
ER -
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