A PROOF OF DASSIOS' REPRESENTATION OF THE α-QUANTILE OF BROWNIAN MOTION WITH DRIFT
成果类型：
Article
署名作者：
Embrechts, P.; Rogers, L. C. G.; Yor, M.
署名单位：
Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Bath; Sorbonne Universite
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004704
发表日期：
1995
页码：
757-767
关键词：
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.