On functionals of the adjusted range process

DOI10.2307/3214077MaRDI QIDQ3757103zbMATH OpenOpenAlexFDO

Authors Gerard Hooghiemstra

Publication date 1987

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214077

zbMATH Keywords

Brownian motionWiener measuredistributions of simple functionals

Mathematics Subject Classification ID

Brownian motion (60J65)

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(3)

• On first range times of linear diffusions
• The probability law of the Brownian motion normalized by its range
• Functional regular variations, Pareto processes and peaks over threshold

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