Title

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

Journal Title

Statistics & probability letters

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