Range of Brownian motion with drift

DOI10.1007/s10959-006-0012-7zbMath1101.60063OpenAlexW2042526026WikidataQ60920734 ScholiaQ60920734MaRDI QIDQ2433961

Etienne Tanré, Pierre Vallois

Publication date: 31 October 2006

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-006-0012-7

zbMATH Keywords

enlargement of filtrationRange process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Characteristic functions; other transforms (60E10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Sample path properties (60G17)

Related Items (4)

Drawdowns and the speed of market crash ⋮ On the maximum increase and decrease of one-dimensional diffusions ⋮ Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies ⋮ Subdiffusivity of Brownian motion among a Poissonian field of moving traps

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the range of a regenerative sequence
• On the range of Brownian motion and its inverse process
• A construction of the Brownian path from \(\mathbf{BES}^ 3\) pieces
• Decomposing the Brownian path via the range process
• Range reliability in random walks
• On first range times of linear diffusions
• Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
• Diffusion arrêtée au premier instant où l'amplitude atteint un niveau donné
• The range of a simple random walk on ℤ
• The ruin problem and cover times of asymmetric random walks and Brownian motions
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
• Probability

This page was built for publication: Range of Brownian motion with drift