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Theory of Stochastic Processes, 2016, Volume 21(37), Issue 1, Pages 73–83 (Mi thsp122)  

On some generalizations of the results about the distribution of the maximum of the Chentsov random field on polygonal lines

N. V. Prokhorenko (Kruglova)

National Technical University of Ukraine ”KPI”, Department of Higher Mathematics No 1, Pr. Peremohy 37, 02056 Kiev, Ukraine
References:
Abstract: In this paper we compute the probability $\mathbf{P}\left\{\sup_{t\in [T_1,T_2]}(w(t)-h(t))<0\right\},$ where $w(t)$ is a Wiener process and $h$ is a step-wise linear function. We use it to obtain the distribution of the maximum of the Chentsov random field on polygonal lines. We have considerably expanded a class of such polygonal lines in this paper.
Keywords: Wiener process; Chentsov random field; distribution of the supremum.
Bibliographic databases:
Document Type: Article
MSC: Primary 60G15; Secondary 60G60
Language: English
Citation: N. V. Prokhorenko (Kruglova), “On some generalizations of the results about the distribution of the maximum of the Chentsov random field on polygonal lines”, Theory Stoch. Process., 21(37):1 (2016), 73–83
Citation in format AMSBIB
\Bibitem{Pro16}
\by N. V. Prokhorenko (Kruglova)
\paper On some generalizations of the results about the distribution of the maximum of the Chentsov random field on polygonal lines
\jour Theory Stoch. Process.
\yr 2016
\vol 21(37)
\issue 1
\pages 73--83
\mathnet{http://mi.mathnet.ru/thsp122}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3571414}
\zmath{https://zbmath.org/?q=an:1363.60054}
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