Approximations for the maximum of a vector-valued stochastic process with drift.

Alexander Aue Lajos Horváth

Published in: Period. Math. Hung. (2003)

Keyphrases

vector valued
stochastic process
brownian motion
stochastic processes
markov chain
stochastic model
scale space
wavelet packet
probability distribution
reproducing kernel hilbert space
diffusion process
multiscale
feature space
model selection
closed form