Permutations, signs and the Brownian bridge

Let B(t), 0[less-than-or-equals, slant]t[less-than-or-equals, slant]1 be a Brownian Bridge, and let f:[0,1]-->{+1,-1} be a non-random, measurable function. Then for every t[greater-or-equal, slanted]0 the following holds:The result follows from a discrete-time maximal inequality for signs via weak convergence. We will present applications of this result in the area of mathematical finance.

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Year of publication:	2000
Authors:	Levental, Shlomo
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 46.2000, 3, p. 271-276
Publisher:	Elsevier
Subject:	Permutations Signs The Brownian bridge

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211959