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16 views23 pagesA formula for the joint distribution of the position and height of the global maximum is given. By using the Generalized Rice formula the joint distribution is derived as a limit distribution of a family of random variables.

Jun 02, 2013

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A formula for the joint distribution of the position and height of the global maximum is given. By using the Generalized Rice formula the joint distribution is derived as a limit distribution of a family of random variables.

Attribution Non-Commercial (BY-NC)

16 views

A formula for the joint distribution of the position and height of the global maximum is given. By using the Generalized Rice formula the joint distribution is derived as a limit distribution of a family of random variables.

Attribution Non-Commercial (BY-NC)

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e

dierentiable Sto
hasti
Pro
ess

Mathemati al Statisti s

Lund University, Sweden

Abstra t

of

in a losed interval, is given. The formula is derived using the Generalized Ri e's

formula.

pro
esses under mild assumptions on the pro
ess. The formula for the density is expli
it

but involves integrals that have to be
omputed using numeri
al integration.

The

omputation of the density is dis ussed and some numeri al examples are given.

Keywords: Sto hasti pro ess, global maximum, supremum, generalized Ri e's formula, extremes

Resear
h supported in part by the Knut and Ali
e Wallenberg Foundation through the Gothenburg

Sto
hasti
Centre

Introdu tion

the resear h on the properties of the global maximum of a sto hasti pro ess on entrates

on the distribution for extreme heights; see e.g. Leadbetter et al. (1983). Often the studied

pro ess is Gaussian, and the distribution is given by means of upper and lower bounds;

see Diebolt and Posse (1996) and referen es therein. Introdu ing the lo ation of the global

maximum makes the analysis more ompli ated.

position and height of the global maximum has not been studied before. We turn now to

some denitions and preliminary results.

F the ompleted -algebra of uniform onvergen e and let P be the probability measure

Let

dened on sets in

F . In what follows we assume that the sample paths of the pro ess have

absolutely
ontinuous derivatives with probability one; see Cramr and Leadbetter (1967)

for suitable
onditions.

In the following denition and lemma we assume that

tive and the se
ond derivative of a fun
tion

Denote by

!(t) is deterministi .

The deriva-

Z (!) and T (!) the height and position of the global maximum of !(t)

The position of the maximum

Analysis of the

(1)

(T; Z )-distribution

for the
ase when the global maximum is also a lo
al maximum is a non-trivial problem.

Here, we shall derive the distribution of

variables,

Denition 1 For a xed level 0, dene A = f0; Lg [ ft 2 [0; L : !_ (t) = g, then the

position and height of the global -maximum T(!); Z (!) say, are given by

Z(!) = sup f!(t) : t 2 A g ; T (!) = inf ft 2 A : !(t) = Z(!)g :

2

onditions when

T ; Z

onverges to

!, (T0 ; Z0 ) = (T; Z ).

T 0 ; Z0

as

the appendix.

Furthermore, if there is only one t 2 [0; L su h that !(t) = Z (!) then T ! T as goes to

zero.

A simple example, in whi h

T

= !(t).

T0(!) = T (!) = t.

i.e.

Z (!)

Further, let

T,

2 (0; L).

Suppose that

is as follows.

Consider

In Se
tion 2 we present the generalized Ri
e's formula for expe
ted number of marked

rossings. The formula will be used to derive

be done in Se
tion 3.) However the formula is valid only for almost all

are interested in the distribution of

of

T; Z for = 0.

(This will

0 values while we

F0 (t; h) will

be dis
ussed in Se
tion 4, while in Se
tion 5 some numeri
al examples will be given. For

larity of presentation, several proofs are moved to an appendix.

Assume that

For a xed

following lassi al result is alled Ri e's formula, see Leadbetter et al. (1983).

Theorem 3 If the pro
ess X (t) is Gaussian and the derivative X_ (t) exists in quadrati

mean (h 1 (X (t + h) X (t)) ! X_ (t) in quadrati
mean as h goes to zero) then

+ (u) =

where fX_ (0);X (0) (z; u) is the joint density of X_ (0); X (0).

3

(2)

Ri
e (1944, 1945) and Ka
(1943), obtained (2) for a
ertain
lass of Gaussian pro
esses and

polynomials with random
oe
ients, respe
tively. The formula (2) has been generalized

in many dire
tions. In this se
tion we shall present the generalization whi
h is parti
ularly

suited for the problem dis
ussed in this paper.

Under the assumptions of the theorem, if

f (u)

+ (u)

E [jX_ (0)j1fX_ (0)>0g X (0) = u =

;

f (u)

where

1fg is equal to one if the statement "" is true and zero otherwise. In general, the left

u.

where

1 _

dH0 (s);

0 fX (s)>0;X (s)=ug

Con-

+ (u)

=

=u

a.a.

0

E [jX_ (0)j1fX_ (0)>0g X (0) = ufX (0)(u);

E[

(3)

=u means that equality is valid for almost all u. A
tually this result is true for any

_ (0)j < 1. The formula

stationary a.s. absolutely dierentiable pro
ess X as long as E [jX

where

a.a.

(3) follows from Theorem 4, whi
h in a more general version is given in Zhle (1984). In

that paper the Hausdorf area and the
oarea theorem, see Federer (1969), has been used to

study properties of
rossings for random elds. The one-dimensional version of the result,

given here, follows also from Bana
h (1925), (see Ry
hlik (2000) for details).

Theorem 4 Assume X (t) is a.s. absolutely ontinuous and Y (t) is ve tor valued a.s. mea-

surable, e.g. adlag. Let q : [0; L C ! [0; 1) be a measurable fun tion. If E [jX_ (t)j < +1

Z

hZ

B

Z Z

=

E [jX_ (s)jq(s; X )1fY (s)2Ag X (s) = xfX (s) (x) ds dx:

R B

(4)

There is some di ulty in interpreting (4). The onditional expe tation

is only well dened with probability one with respe t to

of fun
tions). In order to use the formula we need rst to spe
ify the version of
onditional

expe
tation we wish to
onsider. The problem of
hoosing a "proper"
onditional density is

a deli
ate issue and will be dis
ussed later on.

In the following remark we demonstrate that Eq.(3) follows from Theorem 4.

Remark 5 Consider formula (4) and
hoose B = [0; 1, Y (s) = X_ (s), A = (0; +1) and

q(s; X ) = 1fX (s)ug then

Z u

hZ 1

i

E

1fX_ (s)>0;X (s)=xg dH0(s) dx

1

0

Z u Z 1

E [jX_ (s)j1fX_ (s)>0g X (s) = xfX (s) (x) ds dx:

=

1 0

Now by dierentiating both sides of the equation on u and by assumed stationarity of X we

obtain (3). Note that the dierentiation on u implies that Eq. (3) is proved only for almost

all u.

The distribution of T ; Z .

T ; Z .

hZ

dx =

Let

q(s; !_ ) =

(Note that in Denition 1,

fun
tion of the derivative

8

<

1

:

0

T

if

otherwise.

is a fun tion of

!.

However,

T

an also be dened as a

Now it is easy to

see that

Z t

0 0

x

Theorem 6 Consider ! with a.s. absolute
ontinuous derivative !_ su
h that E [j! (t)j < 1

for all t 2 [0; L. If for all t 2 [0; L the distribution of the derivative pro
ess has a density

= E 1f!(0)hg1fT (!)=0g ;

P (T = L; Z h) = E 1f!(L)hg1fT (!)=Lg ;

P (T = 0; Z h)

(5)

(6)

P (0 < T t; Z h)

a.a.

t h

(7)

where a.a.

= means that equality holds for almost all 0.

Proof:

q(s; !_ ).

Assume that a version of
onditional expe
tation is
hosen and then the distribution

fun
tion of

8

>

>

>

<

E 1f!(0)hg1fT (!)=0g

F (t; h) = E 1f!(0)hg 1fT (!)=0g + F (h; t; )

>

>

>

:

E 1f!(0)hg1fT (!)=0g + E 1f!(L)hg1fT (!)=Lg + F (h; L; )

if

if

if

t = 0;

t 2 (0; L);

t = L;

(8)

where

F (t; h; ) =

t h

(9)

and h, then P (Z h) = F0 (L; h).

Proof:

By Lemma 2,

Sin e

T

di ult. The key is to demonstrate that with probability one there is only one

!(t)

= Z (!).

T

to

is more

t su h that

Lemma 8 Assume ! is a.s.
ontinuously dierentiable and the distribution of the derivative

!_ (t) has a density f!_ (t) (x) for all t 2 [0; L; then ea
h of the following hold:

(0) The fun
tions q(t; !_ ), 1fT (!)=0g (!) and 1fT (!)=Lg(!) are measurable.

(I) If the density f!(t) (x) exists and is bounded in x and in t 2 [0; L then, for any 0,

(II) If, in addition to the assumptions in (I), for any > 0 the joint density f!(s) !(L);!_ (s) (x; y)

exists and is bounded in x; y and in s 2 [0; L , then

lim P (T = 0; Z h) =

lim P (T = L; Z h) =

!0

!0

P (T

= 0; Z h);

P (T = L; Z h):

f!(t) !(s);!_ (s);!_ (t) (x; y; z ) exists and is bounded in x; y; x and in (s; t) 2 A = f(s; t) 2

[0; L [0; L : jt sj g then (T; Z) ! (T; Z ) a.s. as goes to zero, and

(III) If, in addition to the assumptions in (I) and (II), for any >

!0

(10)

Corollary 9 Assume that the joint density f!(t);!_ (t) (x; u) exits for all t 2 [0; L then, for

almost all , the density of T ; Z is given by

(11)

where

fE (t; x) = E 1fT =0g !(0) = x f!(0) (x) 0 (t) + E 1fT =Lg !(L) = x f!(L)(x) L (t);

and

fC (t; x) = E j! (t)j q(t; !_ ) !_ (t) = ; !(t) = x f!(t);!_ (t) (x; );

where s (t) = (t s) is the Dira
fun
tion. The
onditional expe
tations are understood to

be those used in (9).

In this se
tion we shall dis
uss the
hoi
e of the version of the
onditional expe
tation in

the denition of

X; Y

fX;Y (x; y)

(Here

(12)

(!(t); !_ (t); ! (t); q(t; !_ )) is known then (12)
an be used to
ompute the fun
tion F (t; h; ) or

the density f (s; x). However q (t; !

_ ) is a fun
tion of an innite sequen
e f!(si ); !_ (si )g1i=1 ,

see below, and hen
e the density is in general unknown. Consequently we shall dene the

expe
tation as a limit of a sequen
e of suitable approximations.

Let

fsi g1

i=1 , s1 = 0; s2 = L, be a dense subset of [0; L and let

qN (t; !_ )

qN (0; !) = 1f(!(0) !(s )0 or !_ (s )) for all iN g ;

qN (L; !) = 1f(!(L) !(s )0 or !_ (s )) for all iN g ;

where

x+ = max(0; x).

(13)

(14)

where

fE (t; x; N ) =E qN (0; !) !(0) = x f!(0)(x) 0 (t)

fC (t; x; N ) =E j! (t)j qN (t; !_ ) !_ (t) = ; !(t) = x f!(t);!_ (t) (x; ):

Sin e

qN (t; !_ ) q(t; !_ ) while qN (0; !) 1fT =0g , qN (L; !) 1fT =Lg

almost all

f(t; x)

for all

f(t; x)

f (t; x; N )

f(t; x; N )

a.a.

(t; x).

Next we shall derive two su
ient
onditions for the
onvergen
e of

version of

are, for

f(t; x; N )

to a

sin
e the fun
tions are positive and non-in
reasing,
an be used to dene the
onditional

expe
tation in (11). Thus we
an say that

f (t; x)

is the limit of

f (t; x; N )

for all

0.

The rst
ondition, (A), will be used in
onstru
tion of numeri
al algorithm to
ompute the

density of

Theorem 10 Assume that, for any N and t 2 [0; L, (13) has a non-degenerated density.

Further, suppose

0

(A) If

L

lim

N !1

+1 Z

(15)

f (s; x; N ) ds dx = 1

1 0

then, for all t 2 (0; L) and almost all 0, f (t; x) = limN !1 f(t; x; N ).

2 [0; L

(16)

f!_ (s) !_ (t) (y), f!(s) !(t);!_ (s) !_ (t) (x; y) are bounded in x; y and in s su
h that jt sj

then, for almost all 0, f(t; x) = limN !1 f (t; x; N ).

Proof:

Lemma 8 and Theorem 10 gives
onditions for the validity of the following approximation

s
heme. First, dene

F (t; h; N ) =

h Z t

1 0

f(s; z ; N ) ds dz

we have

as

! 0.

F

N !1

a.a.

Consequently, if

uniformly then

f (t; x; N ):

!1 0

Often ontinuity of

f(t; x; N ) an be proved.

f (t; x; N ) is

a mu
h more di
ult problem. However in pra
ti
e, the hardest problem is the
omputation

of

When (numeri al) omputation is possible, then often one an also justify the assumption

of the ontinuity of

then be repla ed by the following ondition: Assume that for su iently small

2 [0; 0

ZZ

f(s; x; N ) ds dx < 1 + ;

10

and all

then

omputed using

jP (T t; Z h) F0 (t; h; N )j

(t; h). Finally, in order to redu
e the amount of numeri
al integration, the

denition of the density f0 (t; x; N ) needs to be modied as follows

fN (t; x) = fE (t; x; N ) + E j! (t)j q~N (t; !) !_ (t) = ; !(t) = x f!(t);!_ (t) (x; );

where

Obviously

fN (t; x)

density of

density

(!):

fN (s; x) ds dx 1 + ;

T; Z .

Sin e the

si

hoose

iN g

ZZ

then

for all

si

for Gaussian

!.

In this subse tion, we shall give su ient onditions involving only the ovarian e stru ture

of the Gaussian pro ess

satised.

Let

be a stationary Gaussian pro ess su h that the fourth spe tral moment

and the fourth order derivative of the ovarian e fun tion satises

11

4

exists

as

! 0, for some > 1. Then ! (s) is a.s. ontinuous, see Cramr and Leadbetter (1967),

and hen
e the assumptions of Theorem 6 and Corollary 9 are satised. If in addition, we

assume that spe
tral measure of

s 6= t,

(!(s); !(t); !_ (s); !_ (t)) has a nonsingular joint density, with
ovarian
e matrix that depends

in a
ontinuous way on

t s.

we an on lude that

!0

Sin e the assumptions of Theorem 10 (B) are also satised for any value of

t, we an then

dene

f (t; x) =

lim (t; x; N ):

f

N !1

Finally, sin e the spe tral measure ontains ontinuous omponents, it is lear that, for any

!(s1 ); !_ (s1 ); : : : ; !(sN ); !_ (sN ); !(t); !_ (t); ! (t):

exists and that the fun tions

The non-stationary Gaussian pro ess used in the next se tion is derived from the stationary one by means of onditioning on values at a nite number of points

tn < L.

Studies of this type of pro esses are motivated by pra ti al appli ations for whi h

the random fun
tion is observed at some xed time points, see Sj (2001) for more detailed

dis
ussion. If the measurements
onsists of the random fun
tion plus some random noise

(su
h as zero mean iid. Gaussian variables), then one
an modify the arguments presented

for stationary Gaussian

error the densities of

!(ti )

In order to resolve this problem one has to hoose points

with the onditioning times

ti

and then

t; s1 ; : : : ; sN

Next it is

easy to reformulate the assumptions in the lemma (and the theorem) so that this spe
ial

ase is
overed. For
larity of presentation we have
hosen not to do it. In order to give

12

some indi
ation of what type of modi
ation is required we give an example: in Lemma 8,

(III) the denition of

5

n

\

i=1

f(s; t) : js ti j ; jt ti j g:

Examples

sian pro
ess with a rather periodi
al behavior, it has a typi
al o
eanographi
spe
trum,

and evaluate the density for the global maximum for two dierent

L.

As a nal exam-

ple we study a non-stationary Gaussian pro
ess that is
reated from a stationary ditto

by
onditioning on the value at some points.

instead of

respe tively.

at

http://www.maths.lth.se/matstat/wafo/.

The intuition about the stationary pro ess may say that the position of the global maximum

should be uniformly distributed, ex ept at the endpoints. Our examples will show that it

is not always true. The density is always perfe tly symmetri around the midpoint of the

interval, but its shape depends on the width of the interval relative to the periodi ity and

the irregularity of the pro ess. A very narrow-banded pro ess, gives a rather dierent result

than a broad-banded pro ess. For the sake of larity we present

sin e

fE

truly two-dimensional.

The pro
ess in our stationary example has zero mean, approximately

0:17 lo
al maxima per unit interval. First we have evaluated the density of the position and height of the global maximum in the interval [0; 3 where the expe
ted

number of lo
al maxima is roughly 0:5 (Figure 1), and then in the interval [0; 9, whi
h is

13

0.09

0.08

0.05

0.07

0.04

0.06

0.03

0.05

0.02

0.04

0.01

0.03

0

8

0.02

6

4

2

0.01

2

4 0

height

0

4

position

2

height

Figure 1: Density of position and height of the global maximum in the short interval

Left:

Interior density

density

f C (s; x).

Right:

f E (0; x),

[0; 3.

0.04

0.035

0.04

0.03

0.03

0.025

0.02

0.02

0.01

0.015

0

8

0.01

6

0.005

0

height

2 0

0

position

height

Figure 2: Density of position and height of the global maximum in the longer interval

Left:

Interior density

density

f C (s; x).

Right:

14

f E (0; x),

[0; 9.

The short interval gives an almost uniform density for the position, but also larger

probability to have the global maximum at one of the endpoints. The proportion is

the interior of the interval to

41% in

that the global maximum is in the
entral part of the interval, espe
ially the smaller maxima

are likely to be there, while the high lo
al maxima are almost uniformly distributed. The

proportion between interior and endpoints in this
ase is

82% to 18%.

interval it is also more probable to have a low global maximum with height below

0) = 0:18 for the short interval, while P(Z 0) = 0:004 for the longer.

0: P(Z

We also
ompared the evaluated densities to empiri
al results based on simulation; here

we present the results for the short interval. We simulated 500 repli
ations of a stationary

pro
ess with the given spe
tral density.

observed.

In the interval

The

umulative fun
tions integrated from the sub-densities are normalised to have maximum

value

1.

This se tion exemplies the situation where we would like to nd the maximum of a pro ess,

given that we have a number of observations of it. We started by simulating a stationary

Gaussian pro ess, the simulation was `observed' at four randomly lo ated points, and a zero

mean Gaussian measurement error was added with varian e

stationary pro
ess. Conditional on the observations (with errors), we obtain a new pro
ess

that is a non-stationary Gaussian pro
ess with mean fun
tion equal to the
onditional mean,

and
ovarian
e fun
tion equal to the
onditional
ovarian
e.

In a real situation the
ovarian
e fun
tion of the stationary pro
ess normally has to

be estimated, but in this example it is taken as known, i.e., the
ovarian
e fun
tion we

simulated from. The stationary
ovarian
e fun
tion used is of the type

parameters su
h that the
ovarian
e fun
tion is almost zero after

15

a exp( b 2 ),

with

0.8

4

height

0.6

2

0.4

0

0.2

2

4

position

0.8

0.8

0.6

0.6

0.4

0.4

0.2

0.2

2

height

height

Figure 3:

Simulation of position

position

and height

[0; 3,

500

repli
ations. The out
ome was su
h that 202 maxima were lo
ated in the interior, 143 at

the left endpoint, and 155 at the right, whi
h is
lose to the analyti
al proportion.

Left

dots.

Left )

Top Right :

Empiri al distribution of

Top

(T; Z ) marked by

the interval (irregular line), together with the
umulative distribution fun
tion, integrated

from

fC

and normalised.

Bottom Left :

Empiri al distribution of

and at the right endpoint (two irregular lines), together with the
umulative distribution

fun
tion integrated from

Empiri al distribution of

Z , given that the maximum is in the interior (irregular line), together with the
umulative

distribution fun
tion integrated from

fC

and normalised.

16

60

50

40

height

30

x 10

3.5

10

30

50

70

90

95

99

20

2.5

10

0

1.5

10

20

30

0.5

40

0

0.5

1.5

position

ontours en loses

fC

2.5

0

0

10

20

30

40

height

50

60

70

marked by ` '. The
onditional mean, i.e., the re
onstru
ted mean, is given by a solid
urve,

anked by approximative
onden
e bands (dashed
urves). Right : Left endpoint density

a=10.

The reason for
hoosing only four observations is
larity, with many observations the density

gets very
on
entrated.

To the left in Figure 4 there is a
ontour plot of the interior density

fC.

The lo ation

and value of the observations are marked by ` '. The plot also shows the
onditional mean

fun
tion, point-wise anked by approximative
onden
e bands evaluated pointwise as the

mean fun
tion

two times the standard deviation. To the right in Figure 4 are the endpoint

91% in the interior, 0:8% to the left, and 8:2% to the right.

To illustrate the inuen
e of the observation error we have repeated the same evaluation, but this time with the observation error varian
e equal to

non-stationary pro
ess has varian
e

0.

Subse
tion 4.1. The result is shown in Figure 5. The dashed
urves
oin
ide with the solid

at the observations sin
e the
onditional varian
e is

17

0 there.

are more errati
depending on numeri
al problems due to the fa
t that the distribution is

nearly singular
lose to the observations. Exa
tly at the observation points, the density is

0 for all heights. The proportions this time are 95:7% in the interior, 0:1% to the left, and

4:2% to the right.

3

60

50

40

30

2.5

Level curves enclosing:

10

30

50

70

90

95

99

20

height

x 10

1.5

10

0

10

20

0.5

30

40

0

0.5

1.5

position

2.5

0

0

10

20

30

40

height

50

60

70

error. The observations are marked by ` '. The
onditional mean, i.e., the re
onstru
ted

mean, is given by a solid
urve, anked by approximative
onden
e bands (dashed
urves).

Right :

Referen
es

Bana
h, S. (1925). Sur les lignes re
tiables et les surfa
es dont l'aire est nie.

7, pp.

Fund. Math.,

225-237.

Bulinskaya, E. V. (1961). On the mean number of rossings of a level by a stationary Gaussian pro ess.

435-438.

J.

Diebolt, J. and Posse, C. (1996).

18

Pro esses.

Federer, H. (1969).

Bull.

1215-1228.

282-332.

Ri
e, S. (1945). The mathemati
al analysis of random noise.

46-156.

Ry
hlik, I. and Lindgren, G.(1993). CROSSREG - a te
hnique for rst passage and wave

density analysis. Probability in Engineering and Informational S
ien
es

Ry
hlik, I. (2000).

7, 125-148.

3:4, 331-348.

Sj, E. (2001). Conden
e Regions for Lo
al Maxima and Minima of Surfa
es Re
onstru
ted

from Finite Data. Methodology and Computing in Applied Probability,

3 145-159.

Zhle, U. (1984). A General Ri e Formula, Palm Measures, and Horizontal-window Conditioning for Random Fields.

Appendix

Proof of Lemma 2:

We demonstrate rst that

!(t) > Z

implies

!_ (t) < .

Suppose

and

!_ (t) >

0 (!_ (t) = and !(t) > Z is impossible). Sin
e !(t) > !(L) then there is t0 = inf fs 2

(t; L) : !_ (s) < 0g. Obviously !_ (s) 0 for all s 2 (t; t0). Now, for
ontinuous !_ there is

s 2 (t; t0 ) su
h that !_ (s) = and !(s) > Z (!), whi
h is a
ontradi
tion.

Consequently, if

!(t) > Z then !_ (t) < , hen
e the distan
e from Z (!) to Z (!) has to be less then L.

se
ond statement of the lemma is obvious.

19

The

Proof of Lemma 8:

In the proof we shall employ Bulinskaya lemma, given next for
ompletness, see Cramr,

Leadbetter (1967), p. 76 for the proof. Adler (1981) Theorem 3.2.1 presents similar type of

result for elds whi
h in slightly modied form will be used in following proofs.

Lemma 11 (Bulinskaya (1961)) Let u be xed. If one dimensional density ft (x) of the pro-

ess (t) is bounded in x and in 0 t 1, and if (t) has, with probability one, a
ontinuous

sample derivative _(t), then the probability is zero that _(t)

for any t in 0 t 1.

= 0, (t) = u simultaneously,

We beginn with the proof of (0). First we give an alternative hara terizations of fun -

measurability. Only measurability of q (t; !

_ ) will be given. (Measurability of the indi ators

tions

q(t; !_ )

!_ ). The partial derivative !12 (s; t) = !_ (t) !_ (s) then, for a xed t

Let us introdu e

q(t; !_ ) = 1

^

and

ts<L

0<s<t

!(t; s) 0 or !12 (t; s) < 0:

(17)

0<s<t !(s; t) > 0 or !12 (s; t) > 0 means that ! is higher or growing faster at

t than at any other s 2 (0; t).) Next for any 0

(Simply,

T (!) = L , !(0; L) > 0 and

Let

0<s<L

^

0<s<L

(18)

(19)

fsi g1

i=1 be a
ountable, dense subset of [0; L, su
h that s1 = 0, s2 = L. Dene

A (t; !)

A+ (t; !)

^_^

^_^

n k i

n k i

f(si t + n 1 ) ) (!(t; si ) 0 or !12 (t; si ) k 1 )g

20

where

n; k; i are integers.

q(t; !_ ) = 1 , !(0; t) > 0 and !(t; L) 0 and A (t; !) and A+ (t; !) are true:

Now, sin
e

(20)

!(s; t); !12 (s; t) are measurable fun
tions (s; t; !_ ) and hen
e, for xed si ; x; y,

1f!12(s ;t)xg[f!(s ;t)yg(t; !)1f!(0;t)>0g\f!(t;L)0g(t; !)

i

We turn now to the proof of (I). First, note that the assumed existen
e of the density

of

= h) = 0 for any xed h and 0. Obviously, sin
e the density of !(0) and

!(L) exists then P (T = 0; Z = h) = 0 and P (T = L; Z = h) = 0. Now, sin
e the density

of ! (t) is bounded then employing Bulinskaya lemma for (t) = ! (t) + t implies that for a

that

P (Z

xed value

h and

whi h implies

P (!(t) = h; !_ (t) = ;

for any

t 2 [0; L) = 0;

(21)

Obviously the fun tions

a; b

a()

(18-19).

!0 b() = 1fT =Lg:

!0

T (!) = 0 and hen e a() = 1 (similarly b() = 0).

T (!) =

The se ond ase is when 0 < T (! ) < L. Then there exist t 2 (0; L) su h that !

_ (t) = 0 and

!(t) > !(0). Sin e !(0) < !(t) then a() tends to zero as goes to zero. We turn now to

he k the limit of b(). Clearly if ! (L) < ! (t) then also b() tends to zero. Consequently the

only interesting ase is when ! (t) = ! (L). We shall show next that this an happen with

probability zero. Again using Bulinskaya lemma we have that for any > 0

P (!(s) !(L) = 0; !_ (s) = 0 for any s 2 [0; L ) = 0:

21

By taking a sequen e of

and hen e with probability one we have

Finally let us onsider the ase

(22)

T (!) = L, then !(L) > !(s) for all s 2 [0; L) and hen e

lim 1

1

(!) = 1f!(L)hg1fT =Lg(!);

!0 f!(0)hg fT =Lg

!0

We turn to (III). For

Z (!).

!(L) > !(s) for all s 2 [0; L) and hen e T (!) = T (!) while Z(!) = Z (!). Finally, we

onsider ! su h that ! (t) = Z (! ) > ! (0) for some t 2 (0; L). (From the previous ase we

have that a.s. ! (t) > ! (L).) Now for a xed > 0, by a minor modi ation of the proof of

Theorem 3.2.1 in Adler (1981) (with eld X (s; t) = ! (t)

!(s)), one an show that

Next onsider

su h that

Z (!)

Now by letting

Consequently t is an unique global maximum on [0; L and by Lemma 2 (T ; Z ) ! (T; Z ).

This ompletes proof of (III).

2

We begin with statement (A); Fun tions

Fubini's theorem, the integrability of

22

Sin e

By means of

qN (t; !_ ) q(t; !_ ),

and

then by (16)

f(t; x; N ) f (t; x) 0

onverges to zero as

tends to innity.

xed

Now if a sample

s 2 [0; L su h that !(t) = !(s) and !_ (t) = !_ (s) is one.

Further, if, for

s2[0;L

(23)

q (0; !) = 1 ,

and for

t=L

q (L; !) = 1 ,

s2[0;L

^

s2[0;L

(24)

(25)

(The proof of statements (23-25) involves elementary manipulations of (17-19) and hen
e is

omitted.) Consequently with probability one

lim (qN (t; !_ ); qN (0; !)qN (L; !)) = (q(t; !_ ); 1fT (!)=0g; 1fT (!)=Lg):

N !1

(26)

f

N !1

for almost all

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