A conditional limit law result on the location of the maximum of Brownian motion

DOI10.1016/0167-7152(92)90048-AzbMath0757.60077OpenAlexW1967491740MaRDI QIDQ1185545

William P. McCormick, George Mathew

Publication date: 28 June 1992

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(92)90048-a

zbMATH Keywords

Brownian motionextreme valueslocation of maximum

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

Related Items (1)

Limit laws for Brownian motion conditioned to reach a high level

Cites Work

• Unnamed Item
• Extremes and related properties of random sequences and processes
• The maximum of a Gaussian process with nonconstant variance
• Extremal theory for stochastic processes
• An asymptotic formula for the distribution of the maximum of a Gaussian process with stationary increments
• The joint density of the maximum and its location for a Wiener process with drift

This page was built for publication: A conditional limit law result on the location of the maximum of Brownian motion