Marginal Densities of the Least Concave Majorant of Brownian Motion
Work
Year: 2001
Type: article
Abstract: A clean, closed form, joint density is derived for Brownian motion, its least concave majorant, and its derivative, all at the same fixed point. Some remarkable conditional and marginal distributions ... more
Source: The Annals of Statistics
Authors Chris Carolan, Richard L. Dykstra
Institutions East Carolina University, University of Iowa
Cites: 16
Cited by: 14
Related to: 10
FWCI: 1.128
Citation percentile (by year/subfield): 79.36
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Sustainable cities and communities
Open Access status: bronze