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  • Search: subject:"Gaver–Stehfest algorithm"
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Year of publication
Subject
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Brownian bridge 1 Gaver–Stehfest algorithm 1 Monotonicity 1 Monte Carlo 1 concave majorant 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Balabdaoui, Fadoua 1 Filali, Karim 1
Institution
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Université Paris-Dauphine (Paris IX) 1
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Economics Papers from University Paris Dauphine 1
Source
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RePEc 1
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Efficient computation of the cdf of the maximum distance between Brownian bridge and its concave majorant
Filali, Karim; Balabdaoui, Fadoua - Université Paris-Dauphine (Paris IX) - 2012
In this paper, we describe two computational methods for calculating the cumulative distribution function and the upper quantiles of the maximal difference between a Brownian bridge and its concave majorant. The first method has two different variants that are both based on a Monte Carlo...
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