On a generalization of the arc-sine law
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Publication:2564702
DOI10.1214/aoap/1034968240zbMath0860.60051OpenAlexW2015178636MaRDI QIDQ2564702
Publication date: 13 April 1997
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1034968240
Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Local time and additive functionals (60J55)
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Cites Work
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- 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
- Fluctuation Problems for Bernoulli Trials
- The distribution of Brownian quantiles
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