On the maximum of a diffusion process in a drifted brownian environment
Kiyoshi Kawazu; Hiroshi Tanaka
Séminaire de probabilités de Strasbourg (1993)
- Volume: 27, page 78-85
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topKawazu, Kiyoshi, and Tanaka, Hiroshi. "On the maximum of a diffusion process in a drifted brownian environment." Séminaire de probabilités de Strasbourg 27 (1993): 78-85. <http://eudml.org/doc/113861>.
@article{Kawazu1993,
author = {Kawazu, Kiyoshi, Tanaka, Hiroshi},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Brownian motion; Cameron-Martin-Maruyama-Girsanov formula; exponential functional},
language = {fre},
pages = {78-85},
publisher = {Springer - Lecture Notes in Mathematics},
title = {On the maximum of a diffusion process in a drifted brownian environment},
url = {http://eudml.org/doc/113861},
volume = {27},
year = {1993},
}
TY - JOUR
AU - Kawazu, Kiyoshi
AU - Tanaka, Hiroshi
TI - On the maximum of a diffusion process in a drifted brownian environment
JO - Séminaire de probabilités de Strasbourg
PY - 1993
PB - Springer - Lecture Notes in Mathematics
VL - 27
SP - 78
EP - 85
LA - fre
KW - Brownian motion; Cameron-Martin-Maruyama-Girsanov formula; exponential functional
UR - http://eudml.org/doc/113861
ER -
References
top- [1] V.I. Afanas'ev, On a maximum of a transient random walk in random environment, Theor.Probab.Appl.35(1990), 205 - 215. Zbl0725.60074MR1069119
- [2] M. Yor, Sur certaines fonctionelles exponentielles du mouvement brownien réel, J.Appl.Probab.29(1992), 202 - 208. Zbl0758.60085MR1147781
- [3] M. Yor, On some exponential functionals of Brownian motion, to appear in Adv.Appl. Probab. (September 1992). Zbl0765.60084MR1174378
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