Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon

DOI10.1214/ECP.V14-1453zbMATH Open1191.60060MaRDI QIDQ1038947FDOQ1038947

Authors: A. J. E. M. Janssen, Johan S. H. van Leeuwaarden 

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/229661

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zbMATH Keywords

Riemann zeta functionmaximumfinite horizonGaussian random walkEuler-MacLaurin summationequidistant sampling of Brownian motion

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65)

Cited In (5)

• Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
• Optimality of equidistant sampling designs for the Brownian motion with a quadratic drift
• Zooming in on a Lévy process at its supremum
• Stochastic integral representations of the extrema of time-homogeneous diffusion processes
• On the monitoring error of the supremum of a normal jump diffusion process

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