Two chain-transformations and their applications to quantiles

DOI10.2307/3215004MaRDI QIDQ4376510zbMATH OpenOpenAlexFDO

Authors Loïc Chaumont, Marc Yor, Jean Bertoin

Publication date 18 January 1999

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

Full work available at URL https://doi.org/10.2307/3215004

zbMATH Keywords

exchangeabilityorder statisticsquantile

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes (60J99)

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• A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
• Sample quantiles of stochastic processes with stationary and independent ents
• Pricing and hedging of quantile options in a flexible jump diffusion model
• Sample quantiles of additive renewal reward processes
• A Path Transformation and its Applications to Fluctuation Theory
• An extension of Vervaat's transformation and its consequences
• The quantile transform of simple walks and Brownian motion

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