A PROOF OF DASSIOS' REPRESENTATION OF THE alpha-QUANTILE OF BROWNIAN MOTION WITH DRIFT

被引：25

作者：

Embrechts, P. ^{[1
]}

Rogers, L. C. G. ^{[2
]}

Yor, M. ^{[3
]}

机构：

[1] ETH Zentrum, Dept Math, CH-8092 Zurich, Switzerland

[2] Univ Bath, Sch Math, Bath BA2 AY, Avon, England

[3] Univ Paris 06, Probabil Lab, F-75252 Paris, France

来源：

ANNALS OF APPLIED PROBABILITY | 1995年 / 5卷 / 03期

关键词：

Brownian motion with drift; alpha-quantile;

D O I：

10.1214/aoap/1177004704

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：757 / 767

页数：11

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