Distribution of the supremum of the two-parameter Yeh-Wiener process on the boundary
1973 ◽
Vol 10
(04)
◽
pp. 875-880
◽
Let D = [0, S] × [0, T] be a rectangle in E2 and X(s, t), (s, t)∈D, be a two parameter Yeh-Wiener process. This paper finds the probability distribution of the supremum of X(s, t) on the boundary of D by taking the limit of the probability distribution of the supremum of X(s, t) along certain paths as these paths approach the boundary of D. The probability distribution of the supremum of X(s, t) on the boundary of D gives a nice lower bound for the probability distribution of the supremum of X(s, t) on D, which is unknown.
1981 ◽
Vol 56
(4)
◽
pp. 507-514
◽
2018 ◽
Vol 18
(06)
◽
pp. 1850047
◽
1997 ◽
Vol 07
(04)
◽
pp. 831-836
◽
Keyword(s):
1969 ◽
Vol 6
(03)
◽
pp. 612-632
◽
Keyword(s):
1993 ◽
Vol 8
(1)
◽
pp. 54-63
◽
2002 ◽
Vol 18
(3)
◽
pp. 219-224