Probability Characteristics of Downfalls of Brownian Motion with Drift

DOI10.1137/S0040585X97981901zbMATH Open1119.60067MaRDI QIDQ3429699

No author found.

Publication date: 2 April 2007

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

Laplace transformBrownian motion (with drift)downfalls

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17)

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