A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
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Publication:1909401
DOI10.1214/aoap/1177004704zbMath0844.60044OpenAlexW2032045399WikidataQ104475992 ScholiaQ104475992MaRDI QIDQ1909401
L. C. G. Rogers, Paul Embrechts, Marc Yor
Publication date: 14 August 1996
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177004704
Brownian motion (60J65) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes (60J99)
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