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

DOI10.1214/ECP.v14-1453zbMath1191.60060MaRDI QIDQ1038947

Augustus J. E. M. Janssen, Johan S. H. van Leeuwaarden

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/229661

zbMATH Keywords

Riemann zeta functionfinite horizonmaximumGaussian random walkEuler-MacLaurin summationequidistant sampling of Brownian motion

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65)

Related Items (4)

Zooming in on a Lévy process at its supremum ⋮ Stochastic integral representations of the extrema of time-homogeneous diffusion processes ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process

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