| Título: | Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon |
| Autores: |
Janssen, A.J.E.M; Philips Research Van Leeuwaarden, J.S.H.; Eindhoven University of Technology and EURANDOM |
| Fecha: | 2009-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Gaussian random walk; maximum; Riemann zeta function; Euler-Maclaurin summation; equidistant sampling of Brownian motion; finite horizon 11M06, 30B40, 60G50, 60G51, 65B15 |
| Descripción: | A Brownian motion observed at equidistant sampling points renders a random walk with normally distributed increments. For the difference between the expected maximum of the Brownian mo- tion and its sampled version, an expansion is derived with coefficients in terms of the drift, the Riemann zeta function and the normal distribution function. |
| Idioma: | No aplica |
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