On the quantiles of Brownian motion and their hitting times

DOI10.3150/bj/1110228240zbMath1062.60079OpenAlexW2039337006MaRDI QIDQ1767480

Angelos Dassios

Publication date: 11 March 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1110228240

zbMATH Keywords

hitting timesarcsine lawquantiles of Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (3)

Quantile mechanics ⋮ Distribution-free properties of isotonic regression ⋮ Subordinated Brownian motion: last time the process reaches its supremum

Cites Work

• Unnamed Item
• Some formulae for a new type of path-dependent option
• The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
• A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
• Sample quantiles of stochastic processes with stationary and independent ents
• A Path Transformation and its Applications to Fluctuation Theory
• Order Statistics of Partial Sums

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