On the time of the maximum of Brownian motion with drift

DOI10.1155/S1048953303000157zbMath1051.60081OpenAlexW2125084067MaRDI QIDQ1885406

Emannuel Buffet

Publication date: 28 October 2004

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/51065

zbMATH Keywords

Girsanov's theoremintegral identitybrownian motion with drift

Mathematics Subject Classification ID

Brownian motion (60J65) Sample path properties (60G17)

Related Items (4)

Quasi-likelihood estimation of a threshold diffusion process ⋮ Busemann process and semi-infinite geodesics in Brownian last-passage percolation ⋮ Time since maximum of Brownian motion and asymmetric Lévy processes ⋮ Subordinated Brownian motion: last time the process reaches its supremum

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