Limit laws for Brownian motion conditioned to reach a high level

A functional limit theorem is presented for the behaviour of Brownian motion conditioned to reach a high level during a fixed time interval. The asymptotic behaviour of the conditioned path as the level tends to infinity is related to Williams' path decomposition at the maximum.

MoreLess

Year of publication:	1993
Authors:	Klass, Michael ; Pitman, Jim
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 17.1993, 1, p. 13-17
Publisher:	Elsevier
Keywords:	Conditioned limit theorem Brownian motion path decomposition at the maximum

More details

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

Persistent link: https://www.econbiz.de/10005223090