Block records and maxima of the increments of the Wiener process
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Publication:1973291
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 \[ \max_{0\leq t\leq n}(W(t)-W(t+1))=\max(Z_1,\ldots ,Z_n). \]
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Cites work
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- Truncated Sequential Change‐point Detection based on Renewal Counting Processes
- A limit theorem for sums of independent random elements in a Banach space
- Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII
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