On the quantiles of Brownian motion and their hitting times
Work
Year: 2005
Type: article
Abstract: The distribution of the α-quantile of a Brownian motion on an interval [0,t] has been obtained motivated by a problem in financial mathematics. In this paper we generalize these results by calculating... more
Source: Bernoulli
Author Angelos Dassios
Cites: 8
Cited by: 8
Related to: 10
FWCI: 0.322
Citation percentile (by year/subfield): 74.89
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: bronze