Probability that the maximum of the reflected Brownian motion over a finite interval [0,t] is achieved by its last zero before t.

DOI10.1214/ECP.V20-4279MaRDI QIDQ894488zbMATH OpenOpenAlexFDO

Authors Sabine Mercier, Agnès Lagnoux, Pierre Vallois

Publication date 1 December 2015

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.03274

zbMATH Keywords

gamma functionBessel processmaximumBrownian bridgereflected Brownian motionBrownian meanderlocal score

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25) Sample path properties (60G17)

Abstract: We calculate the probability $p_c$ that the maximum of a reflected Brownian motion $U$ is achieved on a complete excursion, i.e. $$ where $overlineU(t)$ (respectively $U^{\ast }(t)$) is the maximum of the process $U$ over the time interval $[0,t]$ (resp. $$ where $g(t)$ is the last zero of $U$ before $t$).

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(6)

• Duality between the local score of one sequence and constrained hidden Markov model
• Probability density function of the local score position
• Existence and regularity of law density of a pair (diffusion, first component running maximum)
• Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score
• PDE for the joint law of the pair of a continuous diffusion and its running maximum
• On the maximum drawdown of a Brownian motion

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