Daudin, Jean-Jacques; Etienne, Marie Pierre; Vallois, Pierre - In: Stochastic Processes and their Applications 107 (2003) 1, pp. 1-28
Let (Xn)n[greater-or-equal, slanted]1 be a sequence of real random variables. The local score is Hn=max1[less-than-or-equals, slant]i<j[less-than-or-equals, slant]n (Xi+...+Xj). If (Xn)n[greater-or-equal, slanted]1 is a "good" Markov chain under its invariant measure, the Xi are centered, we prove that converges in distribution to B1* when n-->+[infinity], where B1*=max0[less-than-or-equals, slant]u[less-than-or-equals, slant]1 Bu and (Bu,u[greater-or-equal, slanted]0) is a standard Brownian motion,...</j[less-than-or-equals,>