On maximum increase and decrease of Brownian motion

DOI10.1016/J.ANIHPB.2006.09.007MaRDI QIDQ841505zbMATH OpenOpenAlexFDO

Authors Pierre Vallois, Paavo Salminen

Publication date 17 September 2009

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0512440, http://www.numdam.org/item?id=AIHPB_2007__43_6_655_0/, https://eudml.org/doc/77950

zbMATH Keywords

\(h\)-transformBrownian motion with driftcatalan's constantcovarianceexcursion processItô measuremaximum drawdownmaximum processpath decompositionstime reversal

Mathematics Subject Classification ID

Sample path properties (60G17) Diffusion processes (60J60) Brownian motion (60J65) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: The joint distribution of maximum increase and decrease for Brownian motion up to an independent exponential time is computed. This is achieved by decomposing the Brownian path at the hitting times of the infimum and the supremum before the exponential time. It is seen that an important element in our formula is the distribution of the maximum decrease for the three dimensional Bessel process with drift started from 0 and stopped at the first hitting of a given level. From the joint distribution of the maximum increase and decrease it is possible to calculate the correlation coefficient between these at a fixed time and this is seen to be -0.47936... .

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Cited in

(17)

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• Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
• On the maximum increase and decrease of one-dimensional diffusions
• Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
• Span observables: ``when is a foraging rabbit no longer hungry?
• Drawdown and drawup for fractional Brownian motion with trend
• Distribution of maximum loss of fractional Brownian motion with drift
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• Exponential models, brownian motion, and independence
• Covariance of the running range of a Brownian trajectory
• Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
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• An excursion approach to maxima of the Brownian bridge

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