The Maximum Process is a stochastic process that maps each point in time to the supremum of a Brownian motion path up to that time, characterizing the evolution of its peak values.
46
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1.6K
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76
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42
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2017–2026
3
Variants
Supremum Process
Parents
Publications
46
Optimal stopping of the maximum process: the maximality principle
Goran Peškir · The Annals of Probability · 1998 · 113 citations · Full text
Engineering, Economics, Mathematics +14
On Extremal Theory for Stationary Processes
J.M.P. Albin · The Annals of Probability · 1990 · 103 citations · Full text
1–5 of 46
Authors
76
- SI
3
h-index
- LA
2
h-index
- GP
2
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- CO
2
h-index
- PVPavel V. Gapeev
London School of Economics and Political Science, United Kingdom
2 publications · 39 citations
2
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1–5 of 76
Institutions
42
Centre National de la Recherche Scientifique
Paris, France
4 h-index
6 publications
195 citations
University of Bath
Bath, United Kingdom
3 h-index
4 publications
99 citations
Aarhus University
Aarhus, Denmark
3 h-index
3 publications
177 citations
Laboratoire de Probabilités et Modèles Aléatoires
Paris, France
3 h-index
3 publications
58 citations
Russian Academy of Sciences
Moscow, Russia
2 h-index
2 publications
39 citations
Stanford University
Stanford, United States
2 h-index
2 publications
62 citations
Weierstrass Institute for Applied Analysis and Stochastics
Berlin, Germany
2 h-index
2 publications
39 citations
Sorbonne Université
Paris, France
2 h-index
3 publications
98 citations
1–8 of 42
Venues
- Journal of Applied Probability
JAP · 7 publications · 363 citations
7
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- The Annals of Probability
7 publications · 345 citations
7
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- Theory of Probability and Its Applications
3 publications · 63 citations
3
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- Advances in Applied Probability
AAP · 2 publications · 62 citations
2
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- Physical Review Letters
PRL · 2 publications · 81 citations
2
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