On probability characteristics of "downfalls" in a standard Brownian motion

被引：0
|
作者：
Douady, R
Shiryaev, AN
Yor, M
机构：
[1] Univ Paris 06, Probabil Lab, F-75252 Paris 05, France
[2] RAN, VA Steklov Math Inst, Moscow 117966, Russia
来源：
THEORY OF PROBABILITY AND ITS APPLICATIONS | 1999年 / 44卷 / 01期
关键词：
Brownian motion; downfalls" and "range; Levy theorem; Brownian meander;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
For a Brownian motion B = (B-t)(t less than or equal to 1) with B-0 = 0, EBt = 0, EBt2 = t problems of probability distributions and their characteristics are considered for the variables [GRAPHICS] where sigma and sigma' are times (non-Markov) of the absolute maximum and absolute minimum of the Brownian motion on [0, 1] (i.e., B-sigma = sup(0 less than or equal to t less than or equal to 1) B-t, B-sigma' = info(0 less than or equal to t'less than or equal to 1) B-t').
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页码：29 / 38
页数：10
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