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


 
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1. Title Title of document Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon
 
2. Creator Author's name, affiliation, country A.J.E.M Janssen; Philips Research
 
2. Creator Author's name, affiliation, country J.S.H. Van Leeuwaarden; Eindhoven University of Technology and EURANDOM
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Gaussian random walk; maximum; Riemann zeta function; Euler-Maclaurin summation; equidistant sampling of Brownian motion; finite horizon
 
3. Subject Subject classification 11M06, 30B40, 60G50, 60G51, 65B15
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2009-03-11
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1453
 
10. Identifier Digital Object Identifier 10.1214/ECP.v14-1453
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 14
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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