On the time to reach maximum for a variety of constrained Brownian motions

DOI10.1088/1751-8113/41/36/365005zbMath1195.82020arXiv0802.2619OpenAlexW2030841785MaRDI QIDQ3526016

Michael J. Kearney, Marc Yor, Julien Randon-Furling, Satya N. Majumdar

Publication date: 24 September 2008

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.2619

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

Related Items (18)

Conditioning diffusion processes with killing rates ⋮ Statistics of the maximum and the convex hull of a Brownian motion in confined geometries ⋮ Conditioning two diffusion processes with respect to their first-encounter properties ⋮ Conditioning diffusion processes with respect to the local time at the origin ⋮ On distributions of functionals of anomalous diffusion paths ⋮ Joint distribution of two local times for diffusion processes with the application to the construction of various conditioned processes ⋮ Extreme value statistics of correlated random variables: a pedagogical review ⋮ Extreme value statistics and Arcsine laws of Brownian motion in the presence of a permeable barrier ⋮ Universal first-passage properties of discrete-time random walks and Lévy flights on a line: statistics of the global maximum and records ⋮ Generalised ‘Arcsine’ laws for run-and-tumble particle in one dimension ⋮ Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks ⋮ Intermediate-level crossings of a first-passage path ⋮ Random convex hulls and extreme value statistics ⋮ Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev, Z. Xu and X.Y. Zhou ⋮ Time since maximum of Brownian motion and asymmetric Lévy processes ⋮ Hidden geometry of bidirectional grid-constrained stochastic processes ⋮ Time and place of the maximum for one-dimensional diffusion bridges and meanders ⋮ Universal order statistics for random walks \& Lévy flights

This page was built for publication: On the time to reach maximum for a variety of constrained Brownian motions