The distribution of continuous time rank processes

DOI10.1007/4-431-34342-3_2MaRDI QIDQ3564003zbMATH OpenOpenAlexFDO

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

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)

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• Local times of ranked continuous semimartingales
• Distributional properties of continuous time processes: from CIR to bates
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