An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
From MaRDI portal
Publication:1586570
Recommendations
- Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy's theorem
- scientific article; zbMATH DE number 4072077
- The distribution of the local time of Brownian motion with drift
- On the time of the maximum of Brownian motion with drift
- scientific article; zbMATH DE number 5774588
Cited in
(28)- The trap of complacency in predicting the maximum
- On some equalities of laws for Brownian motion with drift
- On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs
- Large deviation principles for stochastic volatility models with reflection
- Elastic drifted Brownian motions and non-local boundary conditions
- Integral functionals under the excursion measure
- Distributions of functionals of the local time of Brownian motion with discontinuous drift
- Random scaling and sampling of Brownian motion
- Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift
- Drawdowns and the speed of market crash
- The alternating marked point process of \(h\)-slopes of drifted Brownian motion
- Supremum distribution of Bessel process of drifting Brownian motion
- Time-randomized stopping problems for a family of utility functions
- Markov processes conditioned on their location at large exponential times
- Extended Lévy's theorem for a two-sided reflection
- Pricing maturity guarantee with dynamic withdrawal benefit
- Selling a stock at the ultimate maximum
- Ruin probability in a two-dimensional model with correlated Brownian motions
- Optimal selling time in stock market over a finite time horizon
- Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy's theorem
- Stochastic integral representations of the extrema of time-homogeneous diffusion processes
- Moderate and \(L^p\) maximal inequalities for diffusion processes and conformal martingales
- Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
- Magnitude and speed of consecutive market crashes in a diffusion model
- A converse to a theorem of P. Lévy
- The British Russian Option
- Distributions of functionals of a skew Brownian motion with discontinuous drift
- On the maximum drawdown of a Brownian motion
This page was built for publication: An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1586570)
