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 Electronic Communications in Probability > Vol. 14 (2009) > Paper 14 open journal systems 


Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon

A.J.E.M Janssen, Philips Research
J.S.H. Van Leeuwaarden, Eindhoven University of Technology and EURANDOM


Abstract
A Brownian motion observed at equidistant sampling points renders a random walk with normally distributed increments. For the difference between the expected maximum of the Brownian mo- tion and its sampled version, an expansion is derived with coefficients in terms of the drift, the Riemann zeta function and the normal distribution function.


Full text: PDF

Pages: 143-150

Published on: March 11, 2009
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Electronic Communications in Probability. ISSN: 1083-589X