Limit laws for Brownian motion conditioned to reach a high level (Q1210274): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/0167-7152(93)90188-o / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2050465394 / rank | |||
Normal rank | |||
Latest revision as of 09:54, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit laws for Brownian motion conditioned to reach a high level |
scientific article |
Statements
Limit laws for Brownian motion conditioned to reach a high level (English)
0 references
24 May 1993
0 references
A functional limit theorem is presented for the behaviour of Brownian motion conditioned to reach a high level during a fixed time interval. The asymptotic behaviour of the conditioned path as the level tends to infinity is expressed via a time reversal and suitable renormalisation of space and time. Some relations to Williams' path decomposition is pointed out.
0 references
functional limit theorem
0 references
Brownian motion
0 references
asymptotic behaviour of the conditioned path
0 references
renormalisation of space and time
0 references
