A Coupling, and the Darling-Erdos Conjectures

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We derive a new coupling of the running maximum of an Ornstein-Uhlenbeck process and the running maximum of an explicit i.i.d. sequence. We use this coupling to verify a conjecture of Darling and Erdos (1956).
13 pages

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Probability, 60G70; 60F15

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http://salesiana.dossiersoluciones.com/handle/123456789/104962

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0511429
 http://arxiv.org/abs/math/0511429

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arXiv