A FORMULA TO COMPUTE THE DISTRIBUTION OF THE MAXIMUM OF A RANDOM PROCESS

Authors
AZAIS JM WSCHEBOR M
Citation
Jm. Azais et M. Wschebor, A FORMULA TO COMPUTE THE DISTRIBUTION OF THE MAXIMUM OF A RANDOM PROCESS, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 324(2), 1997, pp. 225-230
Citations number
10
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
324
Issue
2
Year of publication
1997
Pages
225 - 230
Database
ISI
SICI code
0764-4442(1997)324:2<225:AFTCTD>2.0.ZU;2-9
Abstract
We give a formula for the distribution of the supremum on an interval of a random process with a real parameter. Our method is based on the number of crossings of a level. Two procedures are described: 1) for p rocesses having C-infinity paths; 2) for processes having only continu ous paths. The example of stationary Gaussian processes is considered.