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Exact Convergence Rate for the Maximum of Standardized Gaussian Increments
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Zakhar Kabluchko, Goettingen University
Axel Munk, Goettingen University
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Abstract
We prove an almost sure limit theorem on the exact convergence rate of the maximum of standardized gaussian random walk increments. This gives a more precise version of Shao's theorem ( Shao, Q.-M., 1995.
On a conjecture of Révész. Proc. Amer. Math. Soc. 123, 575-582 ) in the gaussian case.
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Full text: PDF
Pages: 302-310
Published on: June 17, 2008
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Electronic Communications in Probability. ISSN: 1083-589X |
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