Limit laws for Brownian motion conditioned to reach a high level

DOI10.1016/0167-7152(93)90188-OzbMath0769.60075OpenAlexW2050465394MaRDI QIDQ1210274

Jim W. Pitman, Michael J. Klass

Publication date: 24 May 1993

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

Full work available at URL: https://doi.org/10.1016/0167-7152(93)90188-o

zbMATH Keywords

Brownian motionfunctional limit theoremasymptotic behaviour of the conditioned pathrenormalisation of space and time

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

• Unnamed Item
• A conditional limit law result on the location of the maximum of Brownian motion
• [https://portal.mardi4nfdi.de/wiki/Publication:3308821 It� excursion theory via resolvents]
• Fluctuation identities for lévy processes and splitting at the maximum
• Sojourns and extremes of a diffusion process on a fixed interval
• Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
• Zero-One Laws and the Minimum of a Markov Process
• Markov functions

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