On the trivariate joint distribution of Brownian motion and its maximum and minimum

DOI10.1016/j.spl.2012.12.015zbMath1266.60142OpenAlexW2061830333MaRDI QIDQ1950748

JeongHo Roh, Byoung-Seon Choi

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.12.015

zbMATH Keywords

Brownian motionJacobi's triple product identityjoint probability distributionmaximum and minimum

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

Related Items (5)

The joint distribution of the sample minimum and maximum from a smooth distribution on \(\left[w_1, w_2\right\)] ⋮ General solutions of the heat equation ⋮ The limit joint distributions of statistics of three tests of the NIST package ⋮ Partisan gerrymandering with geographically compact districts ⋮ The value of the high, low and close in the estimation of Brownian motion

Cites Work

• The First Passage Problem for a Continuous Markov Process
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