Article contents
Some lower bounds for the distribution of the supremum of the Yeh-Wiener process over a rectangular region
Published online by Cambridge University Press: 14 July 2016
Abstract
Let W (s, t), s, t ≧ 0, be the two-parameter Yeh–Wiener process defined on the first quadrant of the plane, that is, a Gaussian process with independent increments in both directions. In this paper, a lower bound for the distribution of the supremum of W (s, t) over a rectangular region [0, S]×[0, T], for S, T > 0, is given. An upper bound for the same was known earlier, while its exact distribution is still unknown.
Keywords
- Type
- Short Communications
- Information
- Copyright
- Copyright © Applied Probability Trust 1975
References
- 4
- Cited by