An extremum problem for some class of Brownian motions with drifts

DOI10.1007/S10958-011-0587-0zbMATH Open1291.60165OpenAlexW2063381071MaRDI QIDQ2248592FDOQ2248592

Authors: M. M. Osypchuk, M.Ī. Portenko 

Publication date: 27 June 2014

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-011-0587-0

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Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

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Cited In (6)

• On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs
• Optimal doubling points for Brownian motion with drift
• Title not available (Why is that?)
• On the time of the maximum of Brownian motion with drift
• A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant
• Some inequalities for Brownian motion with a drift

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