A Proof of Dassios' Representation of the $|alpha$-Quantile of Brownian Motion with Drift
Embrechts, P. ; Rogers, L. C. G. ; Yor, M.
Ann. Appl. Probab., Tome 5 (1995) no. 4, p. 757-767 / Harvested from Project Euclid
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An explanation of a remarkable identity in law, due to A. Dassios, concerning the $\alpha$-quantile of Brownian motion with drift is given with the help of Bertoin's rearrangement of positive and negative excursions for Brownian motion with drift.
Publié le : 1995-08-14
Classification:  Brownian motion with drift,  $\alpha$-quantile,  60J30,  60J20 
@article{1177004704,
     author = {Embrechts, P. and Rogers, L. C. G. and Yor, M.},
     title = {A Proof of Dassios' Representation of the $|alpha$-Quantile of Brownian Motion with Drift},
     journal = {Ann. Appl. Probab.},
     volume = {5},
     number = {4},
     year = {1995},
     pages = { 757-767},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177004704}
}

Embrechts, P.; Rogers, L. C. G.; Yor, M. A Proof of Dassios' Representation of the $|alpha$-Quantile of Brownian Motion with Drift. Ann. Appl. Probab., Tome 5 (1995) no. 4, pp.  757-767. http://gdmltest.u-ga.fr/item/1177004704/