Some remarks about the joint law of brownian motion and its supremum
Séminaire de probabilités de Strasbourg, Volume 31 (1997), pp. 306-314.
@article{SPS_1997__31__306_0,
     author = {Yor, Marc},
     title = {Some remarks about the joint law of brownian motion and its supremum},
     journal = {S\'eminaire de probabilit\'es de Strasbourg},
     pages = {306--314},
     publisher = {Springer - Lecture Notes in Mathematics},
     volume = {31},
     year = {1997},
     zbl = {0885.60071},
     mrnumber = {1478739},
     language = {en},
     url = {http://www.numdam.org/item/SPS_1997__31__306_0/}
}
TY  - JOUR
AU  - Yor, Marc
TI  - Some remarks about the joint law of brownian motion and its supremum
JO  - Séminaire de probabilités de Strasbourg
PY  - 1997
DA  - 1997///
SP  - 306
EP  - 314
VL  - 31
PB  - Springer - Lecture Notes in Mathematics
UR  - http://www.numdam.org/item/SPS_1997__31__306_0/
UR  - https://zbmath.org/?q=an%3A0885.60071
UR  - https://www.ams.org/mathscinet-getitem?mr=1478739
LA  - en
ID  - SPS_1997__31__306_0
ER  - 
%0 Journal Article
%A Yor, Marc
%T Some remarks about the joint law of brownian motion and its supremum
%J Séminaire de probabilités de Strasbourg
%D 1997
%P 306-314
%V 31
%I Springer - Lecture Notes in Mathematics
%G en
%F SPS_1997__31__306_0
Yor, Marc. Some remarks about the joint law of brownian motion and its supremum. Séminaire de probabilités de Strasbourg, Volume 31 (1997), pp. 306-314. http://www.numdam.org/item/SPS_1997__31__306_0/

[1] I.V. Denisov : A random walk and a Wiener process near a maximum. Teo. Veroyat i. Prim. 28, p. 821-824. | MR | Zbl

[2] P. Embrechts, L.C.G. Rogers, M. Yor : A proof of Dassios' representation of the α-quantile of Brownian motion with drift. Ann. App. Prob. 5, n° 3, p. 757-767, (1995). | MR | Zbl

[3] I. Karatzas, M. Shreve : Brownian Motion and Stochastic Calculus. Springer, Berlin (1987).

[4] I. Karatzas, M. Shreve : A decomposition of the Brownian path. Stat. Prob. Lett 5, p. 87-94 (1987). | MR | Zbl

[5] D. Lépingle : Un schéma d'Euler pour équations differentielles stochastiques réfléchies. C.R.A.S. Paris, 316, p. 601-605, 1993. | MR | Zbl

[6] L.C.G. Rogers, S.E. Satchell : Estimating variance from high, low and closing prices. The Annals of App. Prob., vol. 1, n° 4, p. 504-512, 1991. | MR | Zbl

[7] V. Seshadri : Exponential models, Brownian motion and independence. Can. J. of Stat., 16, p. 209-221, 1988. | MR | Zbl

[8] M. Yor : Sur certaines fonctionnelles exponentielles du mouvement brownien réel. J. App. Prob, 29,; p. 202-208 (1992). | MR | Zbl

[9] M. Yor : Some Aspects of Brownian motion, Part I : Some special f unctionals. Lect. in Maths. E.T.H. Zurich, Birkhaüser (1992). | MR | Zbl