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Tabulating weighted sup-norm functionals of Brownian bridges via Monte Carlo simulation. (English) Zbl 0927.60017

Szyszkowicz, Barbara (ed.), Asymptotic methods in probability and statistics. A volume in honour of Miklós Csörgő. ICAMPS ’97, an international conference at Carleton Univ., Ottawa, Ontario, Canada, July 1997. Amsterdam: North-Holland/ Elsevier. 707-719 (1998).
Summary: We simulate the cumulative distribution function of certain weighted sup-norm functionals of Brownian bridges. We discuss the theoretical issue of the convergence of the Monte Carlo estimates as well as practical issues concerning the choice of random number generators, number of sampling points, spacings between adjoining sampling points, and related matters.
For the entire collection see [Zbl 0901.00049].

MSC:

60E05 Probability distributions: general theory
60E99 Distribution theory
65C05 Monte Carlo methods
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