Limit laws for Brownian motion conditioned to reach a high level (Q1210274)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit laws for Brownian motion conditioned to reach a high level |
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Limit laws for Brownian motion conditioned to reach a high level (English)
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24 May 1993
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A functional limit theorem is presented for the behaviour of Brownian motion conditioned to reach a high level during a fixed time interval. The asymptotic behaviour of the conditioned path as the level tends to infinity is expressed via a time reversal and suitable renormalisation of space and time. Some relations to Williams' path decomposition is pointed out.
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functional limit theorem
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Brownian motion
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asymptotic behaviour of the conditioned path
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renormalisation of space and time
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