English

The joint distributions of running maximum of a Slepian processes

Probability 2016-09-16 v1 Risk Management

Abstract

Consider the Slepian process SS defined by S(t)=B(t+1)B(t),t[0,1] S(t)=B(t+1)-B(t),t\in [0,1] with B(t),tRB(t),t\in \R a standard Brownian motion.In this contribution we analyze the joint distribution between the maximum ms=max0usS(u)m_{s}=\max_{0\leq u\leq s}S(u) certain and the maximum Mt=max0utS(u)M_t=\max_{0\leq u\leq t}S(u) for 0<s<t0< s < t fixed. Explicit integral expression are obtained for the distribution function of the partial maximum msm_{s} and the joint distribution function between msm_{s} and MtM_t. We also use our results to determine the moments of msm_{s}.

Keywords

Cite

@article{arxiv.1609.04529,
  title  = {The joint distributions of running maximum of a Slepian processes},
  author = {Pingjin Deng},
  journal= {arXiv preprint arXiv:1609.04529},
  year   = {2016}
}

Comments

11 pages, 6 figures