Position and height of the global maximum of a twice differentiable stochastic process (Q1873836)
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English | Position and height of the global maximum of a twice differentiable stochastic process |
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Position and height of the global maximum of a twice differentiable stochastic process (English)
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27 May 2003
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Let \(\omega = \{\omega(t)\), \(t \in [0, L]\}\) be a stochastic process with absolutely continuous sample paths. Let \(Z(\omega)\) and \(T(\omega)\) be the height and position of the global maximum of \(\omega(t)\), i.e., \[ Z(\omega) = \sup\big\{ \omega(t): t \in [0, T]\big\}, \quad T(\omega)= \inf\big\{ t \in [0, L]: \omega(t) =Z(\omega)\big\}. \] The authors first prove a generalization of Rice's formula and then apply it to derive a formula for the joint density of \((Z, T)\). They show that, under mild conditions, the formula can be applied to stationary and non-stationary processes. The authors also give several examples with numerical simulations.
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stochastic processes
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global maximum
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generalized Rice's formula
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extremes
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supremum
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