Ladder height process

In probability theory, the ladder height process is a record of the largest or smallset 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.

Ladder height process

In probability theory, the ladder height process is a record of the largest or smallset 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.