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2009 Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon
A.J.E.M. Janssen, J.S.H. Van Leeuwaarden
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Electron. Commun. Probab. 14(none): 143-150 (2009). DOI: 10.1214/ECP.v14-1453

Abstract

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.

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A.J.E.M. Janssen. J.S.H. Van Leeuwaarden. "Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon." Electron. Commun. Probab. 14 143 - 150, 2009. https://doi.org/10.1214/ECP.v14-1453

Information

Accepted: 11 March 2009; Published: 2009
First available in Project Euclid: 6 June 2016

zbMATH: 1191.60060
MathSciNet: MR2491634
Digital Object Identifier: 10.1214/ECP.v14-1453

Subjects:
Primary: 11M06
Secondary: 30B40, 60G50, 60G51, 65B15

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