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.
Publié le : 1996-08-14
Classification:
Sample quantiles,
exchangeability,
stationary and independent increments,
look-back financial options
@article{1034968241,
author = {Dassios, Angelos},
title = {Sample quantiles of stochastic processes with stationary and
independent increments},
journal = {Ann. Appl. Probab.},
volume = {6},
number = {1},
year = {1996},
pages = { 1041-1043},
language = {en},
url = {http://dml.mathdoc.fr/item/1034968241}
}
Dassios, Angelos. Sample quantiles of stochastic processes with stationary and
independent increments. Ann. Appl. Probab., Tome 6 (1996) no. 1, pp. 1041-1043. http://gdmltest.u-ga.fr/item/1034968241/