The distribution of continuous time rank processes

DOI10.1007/4-431-34342-3_2zbMath1204.60078OpenAlexW86074650MaRDI QIDQ3564003

Takahiko Fujita, Ryozo Miura

Publication date: 2 June 2010

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/4-431-34342-3_2

zbMATH Keywords

Brownian motionBrownian bridgeBrownian motion with driftRank statisticsrank processblack Scholes model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Order statistics; empirical distribution functions (62G30) Brownian motion (60J65) Financial applications of other theories (91G80)

Related Items (1)

Expected median of a shifted Brownian motion: Theory and calculations

This page was built for publication: The distribution of continuous time rank processes