In probability theory, the ladder height process is a record of the largest or smallest value a given stochastic process has achieved up to the specified point in…
In probability theory, the ladder height process is a record of the largest or smallest value a given stochastic process has achieved up to the specified point in time.
The Wiener-Hopf factorization gives the transition probability kernel in the discrete time case.
See also
Record value
References
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