A proof of Dassios' representation of the -quantile of Brownian motion with drift

DOI10.1214/AOAP/1177004704zbMATH Open0844.60044OpenAlexW2032045399WikidataQ104475992 ScholiaQ104475992MaRDI QIDQ1909401FDOQ1909401

Authors: Paul Embrechts, L. C. G. Rogers, Marc Yor 

Publication date: 14 August 1996

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177004704

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zbMATH Keywords

Brownian motion with driftalpha-quantilepath decomposition of Brownian motion with drift

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes (60J99) Brownian motion (60J65)

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