Asymptotic of the running maximum distribution of a Gaussian Bridge

DOI10.1080/07362994.2022.2123344zbMath1529.60034OpenAlexW4296459008MaRDI QIDQ6087163

Mario Abundo

Publication date: 11 December 2023

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2022.2123344

zbMATH Keywords

Brownian motionGaussian processeslarge deviationsrunning maximumGaussian bridge

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Sample path properties (60G17)

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