A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift

DOI10.1214/AOAP/1177004704zbMath0844.60044OpenAlexW2032045399WikidataQ104475992 ScholiaQ104475992MaRDI QIDQ1909401

L. C. G. Rogers, Paul Embrechts, Marc Yor

Publication date: 14 August 1996

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177004704

zbMATH Keywords

Brownian motion with driftalpha-quantilepath decomposition of Brownian motion with drift

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes (60J99)

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