Joint distributions of partial and global maxima of a Brownian bridge

DOI10.1088/1751-8113/49/33/335002zbMath1346.62100arXiv1608.02161OpenAlexW2471545548WikidataQ62269518 ScholiaQ62269518MaRDI QIDQ2822096

G. Oshanin, Carlos Mejía-Monasterio, P. L. Krapivskij, Olivier Bénichou

Publication date: 27 September 2016

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.02161

zbMATH Keywords

Brownian motionextreme value statisticsjoint distributions of extreme values

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Brownian motion (60J65)

Related Items (7)

Statistics of the maximum and the convex hull of a Brownian motion in confined geometries ⋮ Extreme value statistics of ergodic Markov processes from first passage times in the large deviation limit ⋮ Covariance of the running range of a Brownian trajectory ⋮ Short Communication: Projection of Functionals and Fast Pricing of Exotic Options ⋮ Extreme value statistics of correlated random variables: a pedagogical review ⋮ The distribution function for the maximal height of \(N\) non-intersecting Bessel paths ⋮ The joint distribution of running maximum of a Slepian process

This page was built for publication: Joint distributions of partial and global maxima of a Brownian bridge