Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score

Claudie Chabriac; Agnès Lagnoux; Sabine Mercier; Pierre Vallois

Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score

Probability 2014-06-20 v1

Authors: Claudie Chabriac , Agnès Lagnoux , Sabine Mercier , Pierre Vallois

Abstract

Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score.

Keywords

reflected Brownian motion largest complete excursion local score stopped at fixed time excursion theory

Cite

@article{arxiv.1406.4972,
  title  = {Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score},
  author = {Claudie Chabriac and Agnès Lagnoux and Sabine Mercier and Pierre Vallois},
  journal= {arXiv preprint arXiv:1406.4972},
  year   = {2014}
}