Abstract
Joint densities concerning in particular the value and time of the maximum over a fixed time interval, or the behavior over intervals determined by some first- and last-passage times, are determined for Brownian motion, the three-dimensional Bessel process and Brownian meander. Simple change of measure formulas permit easy passage from one process to the other. Examples are given.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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