On the maximum of the generalized Brownian bridge
From MaRDI portal
Publication:1568064
DOI10.1007/BF02469280zbMath0954.60066MaRDI QIDQ1568064
Publication date: 26 June 2000
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Brownian bridgeempirical processfirst-passage timeRayleigh distributionmaximal distributiontwo-sided maximal distribution
Related Items (17)
A permutation approach to goodness-of-fit testing in regression models ⋮ A model for approximately stretched-exponential relaxation with continuously varying stretching exponents ⋮ Brownian motion conditioned to spend limited time below a barrier ⋮ Some results on the Brownian meander with drift ⋮ The speed of invasion in an advancing population ⋮ Asymptotic of the running maximum distribution of a Gaussian Bridge ⋮ Comparison of Brownian jump and Brownian bridge resetting in search for Gaussian target on the line and in space ⋮ The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time ⋮ AN APPLICATION OF THE PARTIAL MALLIAVIN CALCULUS TO BAOUENDI-GRUSHIN OPERATORS ⋮ Strongly constrained stochastic processes: the multi-ends Brownian bridge ⋮ A Yaglom type asymptotic result for subcritical branching Brownian motion with absorption ⋮ Distribution function of the blow up time of the solution of an anticipating random fatigue equation ⋮ SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES ⋮ A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS ⋮ Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries ⋮ Some conditional crossing results of Brownian motion over a piecewise-linear boundary
Cites Work
This page was built for publication: On the maximum of the generalized Brownian bridge