The joint density of two functionals of Brownian motion

zbMATH Open0842.60082MaRDI QIDQ1909017FDOQ1909017

Authors: Karim M. Abadir 

Publication date: 1 August 1996

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

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zbMATH Keywords

Brownian motiondistribution functionsWiener functionalsLaplace inversionparabolic cylinder and Kummer functions

Mathematics Subject Classification ID

Brownian motion (60J65)

Cited In (3)

• On the joint distribution of $ \sup(B_s-\mu s)$ and $ \inf(B_s-\nu s)$ for Brownian motion $ B_s$
• A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
• Inference in a nearly integrated autoregressive model with nonnormal innovations

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