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Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon

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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 languageEnglish
Pages (from-to)143-150
JournalElectronic Communications in Probability
Volume14
Publication statusPublished - 2009

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