The distribution and quantiles of the range of a Wiener process

DOI10.1016/j.amc.2014.01.147zbMath1410.60076OpenAlexW2148523079MaRDI QIDQ1646173

Christopher S. Withers, Saralees Nadarajah

Publication date: 22 June 2018

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.01.147

zbMATH Keywords

Wiener processrangequantilesKolmogorov-Smirnov statisticHurst effect

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

On bounded range distribution of a Wiener process ⋮ Generalized truncated distributions with N intervals deleted: Mathematical definition

Cites Work

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• Extreme values, range and weak convergence of integrals of Markov chains
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables

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