Block records and maxima of the increments of the Wiener process (Q1973291): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 05:25, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Block records and maxima of the increments of the Wiener process |
scientific article |
Statements
Block records and maxima of the increments of the Wiener process (English)
0 references
23 May 2002
0 references
Let \(\{W(t), t\geq 0\}\), \(W(0)=0,\) be the Wiener process. The basic result of this paper consists in proving that there exists a r.v. \(N\) and a sequence \(\{Z_n \}\) of i.i.d. random variables such that a.s. for \(N\geq n\) the following equality is true \[ \max_{0\leq t\leq n}(W(t)-W(t+1))=\max(Z_1,\ldots ,Z_n). \]
0 references
increments of Wiener process
0 references
block record
0 references
l-dependent sequences
0 references
