@article{SPS_1997__31__306_0, author = {Yor, Marc}, title = {Some remarks about the joint law of brownian motion and its supremum}, journal = {S\'eminaire de probabilit\'es de Strasbourg}, volume = {31}, year = {1997}, pages = {306-314}, mrnumber = {1478739}, zbl = {0885.60071}, language = {en}, url = {http://dml.mathdoc.fr/item/SPS_1997__31__306_0} }
Yor, Marc. Some remarks about the joint law of brownian motion and its supremum. Séminaire de probabilités de Strasbourg, Tome 31 (1997) pp. 306-314. http://gdmltest.u-ga.fr/item/SPS_1997__31__306_0/
[1] A random walk and a Wiener process near a maximum. Teo. Veroyat i. Prim. 28, p. 821-824. | MR 726906 | Zbl 0544.60070
:[2] A proof of Dassios' representation of the α-quantile of Brownian motion with drift. Ann. App. Prob. 5, n° 3, p. 757-767, (1995). | MR 1359828 | Zbl 0844.60044
, , :[3] Brownian Motion and Stochastic Calculus. Springer, Berlin (1987).
, :[4] A decomposition of the Brownian path. Stat. Prob. Lett 5, p. 87-94 (1987). | MR 882341 | Zbl 0615.60075
, :[5] Un schéma d'Euler pour équations differentielles stochastiques réfléchies. C.R.A.S. Paris, 316, p. 601-605, 1993. | MR 1212213 | Zbl 0771.60046
:[6] Estimating variance from high, low and closing prices. The Annals of App. Prob., vol. 1, n° 4, p. 504-512, 1991. | MR 1129771 | Zbl 0739.62084
, :[7] Exponential models, Brownian motion and independence. Can. J. of Stat., 16, p. 209-221, 1988. | MR 998214 | Zbl 0677.62010
:[8] Sur certaines fonctionnelles exponentielles du mouvement brownien réel. J. App. Prob, 29,; p. 202-208 (1992). | MR 1147781 | Zbl 0758.60085
:[9] Some Aspects of Brownian motion, Part I : Some special f unctionals. Lect. in Maths. E.T.H. Zurich, Birkhaüser (1992). | MR 1193919 | Zbl 0779.60070
: