The distribution of continuous time rank processes

DOI10.1007/4-431-34342-3_2zbMATH Open1204.60078OpenAlexW86074650MaRDI QIDQ3564003FDOQ3564003

Authors: Takahiko Fujita, Ryozo Miura 

Publication date: 2 June 2010

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/4-431-34342-3_2

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zbMATH Keywords

Brownian motionBrownian bridgeBrownian motion with driftRank statisticsrank processblack Scholes model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Order statistics; empirical distribution functions (62G30) Brownian motion (60J65) Financial applications of other theories (91G80)

Cited In (3)

• Expected median of a shifted Brownian motion: Theory and calculations
• Distributional properties of continuous time processes: from CIR to bates
• Local times of ranked continuous semimartingales

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