Some remarks about the joint law of brownian motion and its supremum

Marc Yor

Séminaire de probabilités de Strasbourg (1997)

  • Volume: 31, page 306-314

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Yor, Marc. "Some remarks about the joint law of brownian motion and its supremum." Séminaire de probabilités de Strasbourg 31 (1997): 306-314. <http://eudml.org/doc/113966>.

@article{Yor1997,
author = {Yor, Marc},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Brownian motion; Brownian bridge; independence; Bessel process; Denisov's path decomposition},
language = {eng},
pages = {306-314},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Some remarks about the joint law of brownian motion and its supremum},
url = {http://eudml.org/doc/113966},
volume = {31},
year = {1997},
}

TY - JOUR
AU - Yor, Marc
TI - Some remarks about the joint law of brownian motion and its supremum
JO - Séminaire de probabilités de Strasbourg
PY - 1997
PB - Springer - Lecture Notes in Mathematics
VL - 31
SP - 306
EP - 314
LA - eng
KW - Brownian motion; Brownian bridge; independence; Bessel process; Denisov's path decomposition
UR - http://eudml.org/doc/113966
ER -

References

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  1. [1] I.V. Denisov : A random walk and a Wiener process near a maximum. Teo. Veroyat i. Prim.28, p. 821-824. Zbl0544.60070MR726906
  2. [2] P. Embrechts, L.C.G. Rogers, M. Yor : A proof of Dassios' representation of the α-quantile of Brownian motion with drift. Ann. App. Prob.5, n° 3, p. 757-767, (1995). Zbl0844.60044MR1359828
  3. [3] I. Karatzas, M. Shreve : Brownian Motion and Stochastic Calculus. Springer, Berlin (1987). Zbl0734.60060
  4. [4] I. Karatzas, M. Shreve : A decomposition of the Brownian path. Stat. Prob. Lett5, p. 87-94 (1987). Zbl0615.60075MR882341
  5. [5] D. Lépingle : Un schéma d'Euler pour équations differentielles stochastiques réfléchies. C.R.A.S.Paris, 316, p. 601-605, 1993. Zbl0771.60046MR1212213
  6. [6] L.C.G. Rogers, S.E. Satchell : Estimating variance from high, low and closing prices. The Annals of App. Prob., vol. 1, n° 4, p. 504-512, 1991. Zbl0739.62084MR1129771
  7. [7] V. Seshadri : Exponential models, Brownian motion and independence. Can. J. of Stat., 16, p. 209-221, 1988. Zbl0677.62010MR998214
  8. [8] M. Yor : Sur certaines fonctionnelles exponentielles du mouvement brownien réel. J. App. Prob, 29,; p. 202-208 (1992). Zbl0758.60085MR1147781
  9. [9] M. Yor : Some Aspects of Brownian motion, Part I : Some special f unctionals. Lect. in Maths.E.T.H. Zurich, Birkhaüser (1992). Zbl0779.60070MR1193919

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