Approximations for the maximum of a vector-valued stochastic process with drift

DOI10.1023/B:MAHU.0000010807.67937.19zbMath1048.60028OpenAlexW2007463284MaRDI QIDQ1882117

Lajos Horváth, Alexander Aue

Publication date: 19 October 2004

Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:mahu.0000010807.67937.19

zbMATH Keywords

invarianceWiener processespartial sumsdriftvector-valued stochastic process

Mathematics Subject Classification ID

Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Cites Work

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• On strong invariance principles under dependence assumptions
• Extensions of results of Komlós, Major, and Tusnády to the multivariate case
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• A classical limit theorem without invariance or reflection
• An approximation of partial sums of independent RV's, and the sample DF. II
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Existence of Optimal Stopping Rules for Rewards Related to $S_n/n$
• Functional central limit theorems for processes with positive drift and their inverses

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