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').

引用

页码：29 / 38

页数：10

共 50 条

[41] Brownian motion reflected on Brownian motion
Burdzy, K
Nualart, D
[J]. PROBABILITY THEORY AND RELATED FIELDS, 2002, 122 (04) : 471 - 493
[42] Brownian motion reflected on Brownian motion
Krzysztof Burdzy
David Nualart
[J]. Probability Theory and Related Fields, 2002, 122 : 471 - 493
[43] On a stochastic nonclassical diffusion equation with standard and fractional Brownian motion
Caraballo, Tomas
Tran Bao Ngoc
Tran Ngoc Thach
Nguyen Huy Tuan
[J]. STOCHASTICS AND DYNAMICS, 2022, 22 (02)
[44] Survival Probability Dynamics of Scaled Brownian Motion: Effect of Nonstationary Property
Lee, Hunki
Song, Sanggeun
Kim, Ji-Hyun
Sung, Jaeyoung
[J]. BULLETIN OF THE KOREAN CHEMICAL SOCIETY, 2019, 40 (09) : 847 - 850
[45] Exponential functionals of Brownian motion, I: Probability laws at fixed time
Matsumoto, Hiroyuki
[J]. PROBABILITY SURVEYS, 2005, 2 : 312 - 347
[46] Exponential Convergence in Probability for Empirical Means of Brownian Motion and of Random Walks
Liming Wu
[J]. Journal of Theoretical Probability, 1999, 12 : 661 - 673
[47] Dynamical phase transition in the first-passage probability of a Brownian motion
Besga, B.
Faisant, F.
Petrosyan, A.
Ciliberto, S.
Majumdar, Satya N.
[J]. PHYSICAL REVIEW E, 2021, 104 (01)
[48] MINIMIZING THE PROBABILITY OF RUIN WHEN CLAIMS FOLLOW BROWNIAN MOTION WITH DRIFT
Promislow, S.
Young, Virginia
[J]. NORTH AMERICAN ACTUARIAL JOURNAL, 2005, 9 (03) : 109 - 128
[49] ON PROBABILITY LAWS OF SOLUTIONS TO DIFFERENTIAL SYSTEMS DRIVEN BY A FRACTIONAL BROWNIAN MOTION
Baudoin, F.
Nualart, E.
Ouyang, C.
Tindel, S.
[J]. ANNALS OF PROBABILITY, 2016, 44 (04): : 2554 - 2590
[50] Exponential convergence in probability for empirical means of Brownian motion and of random walks
Wu, LM
[J]. JOURNAL OF THEORETICAL PROBABILITY, 1999, 12 (03) : 661 - 673

← 1 2 3 4 5 →