A Conditional Limit Law Result on the Location Point of the Maximum of Brownian Motion
Abstract
Conditional on the maximum of Brownian motion exceeding a high level, an asymptotic result on the distribution of the location of the maximum is obtained.
Department(s)
Mathematics
Document Type
Article
DOI
https://doi.org/10.1016/0167-7152(92)90048-a
Keywords
maximum, brownian motion, extreme values
Publication Date
1992
Recommended Citation
Mathew, George, and William P. McCormick. "A conditional limit law result on the location of the maximum of Brownian motion." Statistics & probability letters 13, no. 3 (1992): 199-202.
Journal Title
Statistics & probability letters
COinS
