The joint density of the maximum and its location for a Wiener process with drift

DOI10.2307/3212910zbMATH Open0403.60072OpenAlexW4234280480MaRDI QIDQ4188539FDOQ4188539

Publication date: 1979

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

Full work available at URL: https://doi.org/10.2307/3212910

Brownian Motion Perturbation Theory Wiener Process Diffusion Equation Joint Density Location of the Maximum Many-Particle Dynamical Systems

Mathematics Subject Classification ID

Brownian motion (60J65)

Cited In (49)

Exponential models, brownian motion, and independence
On a Poissonian change-point model with variable jump size
The likelihood ratio method for testing changes in the parameters of double exponential observations
A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data
Location of the path supremum for self-similar processes with stationary increments
Lower bound for the expected supremum of fractional brownian motion using coupling
A note on the asymptotic distribution of the maximum likelihood estimator in a non-regular case
Optimal estimation of the supremum and occupation times of a self-similar Lévy process
Annuities with controlled random interest rates.
A factorisation of diffusion measure and finite sample path constructions
Information criterion for Gaussian change-point model
Limit theorems for kernel-type estimators for the time of change
Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression
Alternative growth versus security in continuous dynamic trading
A general class of cumulative damage models for materials failure
A note on portfolio optimization with path-dependent utility
On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion
Consistency of a myopic Bayesian algorithm for one-dimensional global optimization
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
A discrete analogue and elementary derivation of 'Levy's equivalence' for Brownian motion
A stationary model of non-intersecting directed polymers
On a first hit distribution of the running maximum of Brownian motion
Elastic drifted Brownian motions and non-local boundary conditions
Stochastic Methods for Global Optimization
Generating stochastic trajectories with global dynamical constraints
Change-point model selection via AIC
Time and place of the maximum for one-dimensional diffusion bridges and meanders
The value of the high, low and close in the estimation of Brownian motion
Lower bound on complexity of optimization of continuous functions
Estimators for the Time of Change in Linear Models
Joint distribution of the supremum and the moment of its attainment by a Poisson process with linear drift
The effect of long-range dependence on change-point estimators
A model of sequential investment
Generating constrained run-and-tumble trajectories
A lower bound on complexity of optimization on the Wiener space
A conditional limit law result on the location of the maximum of Brownian motion
Time-to-build and capacity choice
Euler scheme for reflected stochastic differential equations
Simulation of extremes of diffusions
An algorithm for evaluating the number of controls in trigger--target models
On capital allocation for a risk measure derived from ruin theory
Optimal trading of stock options under alternative strategy
Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
Adaptive approximation of the minimum of Brownian motion
Invasion and adaptive evolution for individual-based spatially structured populations
A factorization of a Lévy process over a phase-type horizon
New penalty in information criteria for the ARCH sequence with structural changes
Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives

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