Exact Convergence Rate for the Maximum of Standardized Gaussian Increments
2008 | journal article; research paper. A publication with affiliation to the University of Göttingen.
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Details
- Authors
- Kabluchko, Zakhar; Munk, Axel
- Abstract
- We prove an almost sure limit theorem on the exact convergence rate of the maximum of standarized gaussian random walk increments. This gives a more precise version of Shao's theorem (Shao, Q.-M., 1995. On a conjecture of Revesz. Proc. Amer. Math. Soc. 123, 575-582) in the gaussian case.
- Issue Date
- 2008
- Journal
- Electronic Communications in Probability
- ISSN
- 1083-589X
- Language
- English
