Decomposing the Brownian path via the range process

We decompose the Brownian trajectory from extremes, via the inverse of the range process. This allows us to construct a martingale which satisfies the chaotic property representation and is closely connected to parabolic martingale.

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Year of publication:	1995
Authors:	Vallois, P.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 55.1995, 2, p. 211-226
Publisher:	Elsevier
Keywords:	60G17 60G40 60G44 60G55 60J30 60J65 60J75 Range process Brownian motion Brownian excursions Martingales

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875818