The joint distributions of running maximum of a Slepian processes
Probability
2016-09-16 v1 Risk Management
Abstract
Consider the Slepian process defined by with a standard Brownian motion.In this contribution we analyze the joint distribution between the maximum certain and the maximum for fixed. Explicit integral expression are obtained for the distribution function of the partial maximum and the joint distribution function between and . We also use our results to determine the moments of .
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