The joint distributions of running maximum of a Slepian processes

Abstract

Consider the Slepian process $S$ defined by $S(t)=B(t+1)-B(t),t\in [0,1]$ with $B(t),t\in \mathbb{R}$ a standard Brownian motion.In this contribution we analyze the joint distribution between the maximum $m_s={\max }_{0\le u\le s}S(u)$ certain and the maximum $M_t={\max }_{0\le u\le t}S(u)$ for $0<s<t$ fixed. Explicit integral expression are obtained for the distribution function of the partial maximum $m_s$ and the joint distribution function between $m_s$ and $M_t$. We also use our results to determine the moments of $m_s$.

11 pages, 6 figures

References in corpus (2)

• Joint distributions of partial and global maxima of a Brownian Bridge
• Boundary crossing probabilities for $(q,d)$-Slepian-processes