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Equidistant sampling for the maximum of a Brownian motion with drift on a finite horizon
Gaussian random walk maximum Riemann zeta function Euler-Maclaurin summation equidistant sampling of Brownian motion finite horizon
2009/4/29
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 mo- tion and its s...