Brownian excursions from extremes

Pei Hsu; Peter March

Séminaire de probabilités de Strasbourg (1988)

  • Volume: 22, page 502-507

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Hsu, Pei, and March, Peter. "Brownian excursions from extremes." Séminaire de probabilités de Strasbourg 22 (1988): 502-507. <http://eudml.org/doc/113651>.

@article{Hsu1988,
author = {Hsu, Pei, March, Peter},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {local time; maximum and minimum processes; time-changed reflecting Brownian motion; excursion theory},
language = {eng},
pages = {502-507},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Brownian excursions from extremes},
url = {http://eudml.org/doc/113651},
volume = {22},
year = {1988},
}

TY - JOUR
AU - Hsu, Pei
AU - March, Peter
TI - Brownian excursions from extremes
JO - Séminaire de probabilités de Strasbourg
PY - 1988
PB - Springer - Lecture Notes in Mathematics
VL - 22
SP - 502
EP - 507
LA - eng
KW - local time; maximum and minimum processes; time-changed reflecting Brownian motion; excursion theory
UR - http://eudml.org/doc/113651
ER -

References

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  1. [1] Bass, R.F., Markov Processes and Convex Minorants, Sem. Prob.XVIII, Lecture Notes in Math. No. 1059, 24-41. Zbl0575.60080
  2. [2] Getoor, R.K., Splitting Times and Shift Functionals, Z. fur Wahr. verw. Gebiete, 47(1979), 69-81. Zbl0394.60073
  3. [3] Getoor, R.K., Excursions of Markov Processes, Ann. Prob.7(1979), 244-266. Zbl0399.60069
  4. [4] Groeneboom, P., The Concave Majorant of Brownian Motion, Ann. Prob.6(1983), 1016-1027. Zbl0523.60079
  5. [5] Hsu, P., On Excursions of Reflecting Brownian Motion, Trans. Amer. Math. Soc., vol.296, No.1(1986), p.239-263. Zbl0602.60070
  6. [6] Ikeda, N. and Watanabe, S., Stochastic Differential Equations and Diffusion Processes, North Holland and Kodansha, Amsterdam, Oxford, New York, 1981. Zbl0495.60005
  7. [7] Imhof, J-P., On the Range of Brownian Motion and its Inverse Process, Ann. Prob.13(1985), 1011-1017. Zbl0579.60084
  8. [8] Jacobs, P.A., Excursions of a Markov Process Induced by Continuous Additive Functionals, Z. fur Wahr. verw. Gebiete, 44 (1978), 325-336. Zbl0369.60094
  9. [9] Pitman, J.W., Remarks on the Convex Minorant of Brownian Motion, Seminar on Stochastic Processes, Birkhäuser, 1982. Zbl0528.60033
  10. [10] Port, S.C.and Stone, C.J., Brownian Motion and Classical Potential Theory, Academic Press, New York, 1978. Zbl0413.60067
  11. [11] Tanaka, H., Stochastic Differential Equations with Reflecting Boundary Conditions in Convex Domains, Hiroshima Math. J.9(1979), 163-179. Zbl0423.60055

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