The harmonic mean formula for random processes
Анотація
Motivated by the classical harmonic mean formula, estabished by Aldous in 1989, we investigate the relation between the sojourn time and supremum of a random process X(t),t∈Rd and extend the harmonic mean formula for general stochastically continuous X. We discuss two applications concerning the continuity of distribution of supremum of X and representations of classical Pickands constants.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
On Distributional Properties of Perpetuities
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models
Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index H ∈ (0, 12)
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models
Construction of maximum likelihood estimator in the mixed fractional–fractional Brownian motion model with double long-range dependence
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models
Exact Asymptotic for Distribution Densities of Lévy Functionals
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models
New and refined bounds for expected maxima of fractional Brownian motion
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models
On a skew stable Lévy process
Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models