A toolbox on the distribution of the maximum of Gaussian process

Jean-Marc Azaïs (1) , Li-Vang Lozada-Chang (2)

1 IMT - Institut de Mathématiques de Toulouse UMR5219
2 Universidad de La Habana [Cuba]

In this paper we are interested in the distribution of the maximum, or the maximum of the absolute value, of certain Gaussian processes for which the result is exactly known.

Mots clés: matlab toolbox; Distribution of the maximum; Ornstein-Uhlenbeck process; Brownian motion; Sine-Cosine process; Bessel process; matlab toolbox.

Domaines: Probabilités [math.PR]

Jean-Marc Azaïs, Li-Vang Lozada-Chang. A toolbox on the distribution of the maximum of Gaussian process. 2013. ⟨hal-00784874⟩