On the Location of the Maximum of a Continuous Stochastic Process
On the Location of the Maximum of a Continuous Stochastic Process
复制标题
关于连续随机过程最大值的位置
DOI：
10.1239/jap/1395771420
复制
发表时间：
2012
影响因子：
1
通讯作者：
Leandro P. R. Pimentel
中科院分区：
文献类型：
--
作者：
Leandro P. R. Pimentel
在这篇短文中，我们将给出一个区间上随机过程最大值位置唯一的充要条件。结果还将表示位置的平均值，该平均值表示为基本过程的线性扰动的最大值的期望的导数。作为应用，我们将考虑具有可变漂移的布朗运动。证明方法背后的思想也将有助于研究最大值的位置，在真实的线，双边布朗运动减去抛物线和一个平稳过程减去抛物线。
In this short article we will provide a sufficient and necessary condition to have uniqueness of the location of the maximum of a stochastic process over an interval. The result will also express the mean value of the location in terms of the derivative of the expectation of the maximum of a linear perturbation of the underlying process. As an application, we will consider a Brownian motion with variable drift. The ideas behind the method of proof will also be useful to study the location of the maximum, over the real line, of a two-sided Brownian motion minus a parabola and of a stationary process minus a parabola.
影响因子：
3.1
作者：
Ivan Corwin;A. Hammond
通讯作者：
Ivan Corwin;A. Hammond