On the time of the maximum of Brownian motion with drift

Journal of Applied Mathematics and Stochastic Analysis

Volumn 16, Issue 3, 2003, Pages 201-207

  Buffet, Emannuel ^a  

^a DUBLIN CITY UNIVERSITY   (Ireland)

Author keywords

Brownian Motion with Drift; Girsanov's Theorem; Integral Identity

Indexed keywords

EID: 55449121922     PISSN: 10489533     EISSN: 16872177     Source Type: Journal    
DOI: 10.1155/S1048953303000157     Document Type: Article

References (4)

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2. Embrechts, P., Rogers, L.C.G. and Yor, M., A proof of Dassios' representation of the α-quantile of Brownian motion with drift, Ann. Applied Prob. 5 (1995), 757-767.
3. Karatzas, I. and Shreve S.E., . A decomposition of the Brownian path, Statist. Probab. Lett. 5 (1987), 87-94.
4. Karatzas, I. and Shreve S.E., Brownian Motion and Stochastic Calculus, Springer, New York 1988.