Persistence probabilities for stationary increment processes
نویسندگان
چکیده
منابع مشابه
On Sampling of Stationary Increment Processes
Under a complex technical condition, similar to such used in extreme value theory, we find the rate q(ε) at which a stochastic process with stationary increments ξ should be sampled, for the sampled process ξ(⌊·/q(ε)⌋q(ε)) to deviate from ξ by at most ε, with a given probability, asymptotically as ε ↓ 0. The canonical application is to discretization errors in computer simulation of stochastic ...
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Article history: Received 15 June 2011 Accepted 3 May 2012 Available online xxxx
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2018
ISSN: 0304-4149
DOI: 10.1016/j.spa.2017.07.016