Comparing the distribution of various suprema on two-parameter Wiener space

Let Q = [0, S] × [0, T] and let C2(Q) be two-parameter Wiener space. In this note we consider the ratios of the probabilities ℙ[x(S, T) ≥ c], ℙ[supQ x(s, t) ≥ c] and ℙ[sup∂Q x(s, t) ≥ c].

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Bibliographic Details
Published in:Proceedings of the American Mathematical Society 2013-06, Vol.141 (6), p.2149-2152
Main Authors: PIERCE, IAN, SKOUG, DAVID
Format: Article
Language:English
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Summary:Let Q = [0, S] × [0, T] and let C2(Q) be two-parameter Wiener space. In this note we consider the ratios of the probabilities ℙ[x(S, T) ≥ c], ℙ[supQ x(s, t) ≥ c] and ℙ[sup∂Q x(s, t) ≥ c].
ISSN:0002-9939
1088-6826
DOI:10.1090/S0002-9939-2013-11497-8