Two chain-transformations and their applications to quantiles

DOI10.2307/3215004zbMath0904.60059OpenAlexW4241760820MaRDI QIDQ4376510

Loïc Chaumont, Marc Yor, Jean Bertoin

Publication date: 18 January 1999

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215004

zbMATH Keywords

order statisticsexchangeabilityquantile

Mathematics Subject Classification ID

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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An extension of Vervaat's transformation and its consequences ⋮ Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model

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