We derive asymptotic behavior of the probability of high-level excursion for the maximal increment of the Wiener process.
What is the OGCJN/Extremes-of-Shepp-statistics-for-the-Wiener-process GitHub project? Description: "We derive asymptotic behavior of the probability of high-level excursion for the maximal increment of the Wiener process.". Explain what it does, its main use cases, key features, and who would benefit from using it.
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