Efficient computation of the cdf of the maximal difference between a Brownian bridge and its concave majorant (Q4913957)
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scientific article; zbMATH DE number 6154797
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient computation of the cdf of the maximal difference between a Brownian bridge and its concave majorant |
scientific article; zbMATH DE number 6154797 |
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Efficient computation of the cdf of the maximal difference between a Brownian bridge and its concave majorant (English)
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17 April 2013
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cumulative distribution function
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Brownian bridge
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concave majorant
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Gaver-Stehfest algorithm
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monotonicity
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Monte Carlo
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