Limit laws for Brownian motion conditioned to reach a high level (Q1210274)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Limit laws for Brownian motion conditioned to reach a high level |
scientific article; zbMATH DE number 178024
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit laws for Brownian motion conditioned to reach a high level |
scientific article; zbMATH DE number 178024 |
Statements
Limit laws for Brownian motion conditioned to reach a high level (English)
0 references
24 May 1993
0 references
A functional limit theorem is presented for the behaviour of Brownian motion conditioned to reach a high level during a fixed time interval. The asymptotic behaviour of the conditioned path as the level tends to infinity is expressed via a time reversal and suitable renormalisation of space and time. Some relations to Williams' path decomposition is pointed out.
0 references
functional limit theorem
0 references
Brownian motion
0 references
asymptotic behaviour of the conditioned path
0 references
renormalisation of space and time
0 references
