The law of the maximum of a Bessel bridge
From MaRDI portal
Publication:1298340
zbMath0943.60084MaRDI QIDQ1298340
Publication date: 22 August 1999
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/120476
Riemann zeta functionBessel processBrownian excursionlocal timezeros of Bessel functionsBrownian brigdeBrownian scaling
Brownian motion (60J65) Diffusion processes (60J60) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)
Related Items
On the distribution of ranked heights of excursions of a Brownian bridge. ⋮ On an approach to boundary crossing by stochastic processes ⋮ Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals ⋮ High excursions of Bessel and related random processes ⋮ The distribution function for the maximal height of \(N\) non-intersecting Bessel paths ⋮ On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes ⋮ Volterra integral equations of the first kind and applications to linear diffusions ⋮ Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions ⋮ On excursions inside an excursion ⋮ Time and place of the maximum for one-dimensional diffusion bridges and meanders ⋮ Simulation of jump diffusions and the pricing of options ⋮ Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation ⋮ Exact simulation of the first-passage time of diffusions ⋮ On first exit times and their means for Brownian bridges ⋮ On exact simulation algorithms for some distributions related to Jacobi theta functions
This page was built for publication: The law of the maximum of a Bessel bridge
