Distribution of Trend Height and Length for Brownian Motion with a Drift

DOI10.1137/S0040585X97982086zbMATH Open1116.60044OpenAlexW2041197739MaRDI QIDQ3429720FDOQ3429720

S. N. Lobanov

Publication date: 2 April 2007

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97982086

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zbMATH Keywords

Laplace transformBrownian motionlinear drifttrend changetrend height and length

Mathematics Subject Classification ID

Brownian motion (60J65)

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