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

DOI10.1214/AOAP/1177004704MaRDI QIDQ1909401zbMATH OpenOpenAlexWikidataFDO

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

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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• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
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