On Probability Characteristics of "Downfalls" in a Standard Brownian Motion

For a Brownian motion $B=(B_t)_{t\le 1}$ with $B_0=0$, {\bf E}$B_t=0$, {\bf E}$B_t^2=t$ problems of probability distributions and their characteristics are considered for the variables $$ \begin{array}{c} {\mathbb D} =\displaystyle\sup_{0\le t\le t'\le 1}(B_t-B_{t'}),\qquad {\mathbb D}_1=B...

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Veröffentlicht in:	Theory of probability and its applications 2000-01, Vol.44 (1), p.29-38
Hauptverfasser:	Douady, R., Shiryaev, A. N., Yor, M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications Brownian motion Computational Finance General Finance Portfolio Management Pricing of Securities Probability distribution Quantitative Finance Risk Management Statistical Finance Statistics
Online-Zugang:	Volltext
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