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August 1996 Sample quantiles of stochastic processes with stationary and independent increments
Angelos Dassios
Ann. Appl. Probab. 6(3): 1041-1043 (August 1996). DOI: 10.1214/aoap/1034968241

Abstract

The purpose of this note is to obtain a representation of the distribution of the $\alpha$-quantile of a process with stationary and independent increments as the sum of the supremum and the infimum of two rescaled independent copies of the process. This representation has already been proved for a Brownian motion. The proof is based on already known discrete time results.

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Angelos Dassios. "Sample quantiles of stochastic processes with stationary and independent increments." Ann. Appl. Probab. 6 (3) 1041 - 1043, August 1996. https://doi.org/10.1214/aoap/1034968241

Information

Published: August 1996
First available in Project Euclid: 18 October 2002

zbMATH: 0860.60025
MathSciNet: MR1410129
Digital Object Identifier: 10.1214/aoap/1034968241

Keywords: exchangeability , look-back financial options , Sample quantiles , stationary and independent increments

Rights: Copyright © 1996 Institute of Mathematical Statistics

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Vol.6 • No. 3 • August 1996
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