SAMPLE QUANTILES OF STOCHASTIC PROCESSES WITH STATIONARY AND INDEPENDENT INCREMENTS
成果类型：
Article
署名作者：
Dassios, Angelos
署名单位：
University of London; London School Economics & Political Science
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
1996
页码：
1041-1043
关键词：
摘要：
The purpose of this note is to obtain a representation of the distribution of the alpha-quantile of a process with stationary and independent increments as the sum of the supremum and the infimum of two rescaled independent copies of the process. This representation has already been proved for a Brownian motion. The proof is based on already known discrete time results.