Extreme-Value Analysis of Standardized Gaussian Increments

2007/06/13 by Zakhar Kabluchko, Kabluchko, Zakhar · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #60G15 #60G70 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.0706.1849

openalex publication_date 2007/06/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Let \X_i,i=1,2,...\ be i.i.d. standard gaussian variables. Let S_n=X₁+...+X_n be the sequence of partial sums and L_n=max_0≤ i

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