Abstract
A Brownian motion observed at equidistant sampling points renders a random walk with normally distributed increments. For the difference between the expected maximum of the Brownian motion and its sampled version, an expansion is derived with coefficients in terms of the drift, the Riemann zeta function and the normal distribution function.
| Original language | English |
|---|---|
| Pages (from-to) | 143-150 |
| Journal | Electronic Communications in Probability |
| Volume | 14 |
| Publication status | Published - 2009 |
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