The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 5, Number 3 (1995), 757-767.
A Proof of Dassios' Representation of the $|alpha$-Quantile of Brownian Motion with Drift
P. Embrechts, L. C. G. Rogers, and M. Yor
Abstract
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.
Article information
Source
Ann. Appl. Probab., Volume 5, Number 3 (1995), 757-767.
Dates
First available in Project Euclid: 19 April 2007
Permanent link to this document
https://projecteuclid.org/euclid.aoap/1177004704
Digital Object Identifier
doi:10.1214/aoap/1177004704
Mathematical Reviews number (MathSciNet)
MR1359828
Zentralblatt MATH identifier
0844.60044
JSTOR
links.jstor.org
Subjects
Primary: 60J30
Secondary: 60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) [See also 90B30, 91D10, 91D35, 91E40]
Keywords
Brownian motion with drift $\alpha$-quantile
Citation
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. 5 (1995), no. 3, 757--767. doi:10.1214/aoap/1177004704. https://projecteuclid.org/euclid.aoap/1177004704
