Range of Brownian motion with drift

DOI10.1007/S10959-006-0012-7zbMath1101.60063OpenAlexW2042526026WikidataQ60920734 ScholiaQ60920734MaRDI QIDQ2433961

Etienne Tanré, Pierre Vallois

Publication date: 31 October 2006

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-006-0012-7

zbMATH Keywords

enlargement of filtrationRange process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Characteristic functions; other transforms (60E10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Sample path properties (60G17)

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Cites Work

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• Diffusion arrêtée au premier instant où l'amplitude atteint un niveau donné
• The range of a simple random walk on ℤ
• The ruin problem and cover times of asymmetric random walks and Brownian motions
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
• Probability

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