The distribution of Brownian quantiles-Reference-Cited by-同舟云学术

The distribution of Brownian quantiles

Published:1995-06 Issue:2 Volume:32 Page:405-416
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Yor Marc

Abstract

The distribution of Brownian quantiles is determined, simplifying related integral expressions obtained by Lévy [9], [10] and more recently by Miura [11]. Three proofs are given, two of them involving last-passage times of Brownian motion, before time 1, at a given level.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference13 articles.

1. Semi-Martingales et Grossissement d’une Filtration

2. Embrechts P. , Rogers L. C. G. and Yor M. (1995) A proof of Dassios's representation of the a-quantile of Brownian motion with drift. Ann. Appl. Prob.

3. Akahori J. (1995) Some formulae for a new type of path-dependent option. Ann. Appl. Prob. To appear.

4. Valeurs principales associées aux temps locaux Browniens;Biane;Bull. Sci. Maths.,1987

5. Grossissements de filtrations: exemples et applications

Cited by 44 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Conclusion and Perspectives;Statistics of Extremes and Records in Random Sequences;2024-06-20

2. Extremes in Other Correlated Systems;Statistics of Extremes and Records in Random Sequences;2024-06-20

3. Records;Statistics of Extremes and Records in Random Sequences;2024-06-20

4. Order Statistics;Statistics of Extremes and Records in Random Sequences;2024-06-20

5. Time of the Maximum and the Minimum;Statistics of Extremes and Records in Random Sequences;2024-06-20