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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
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.
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
Linking options:
https://www.mathnet.ru/eng/thsp122 https://www.mathnet.ru/eng/thsp/v21/i1/p73
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