Local maxima of two dependent Brownian Motions never coincide
Probability
2012-07-12 v1
Abstract
We consider two dependent Brownian motions with (possibly) different drift, and apply a result by le Gall on cone points of two dimensional Brownian motion to show that with probability one, there will not be a time that is a local maximum for both processes.
Cite
@article{arxiv.1207.2653,
title = {Local maxima of two dependent Brownian Motions never coincide},
author = {E. A. Cator},
journal= {arXiv preprint arXiv:1207.2653},
year = {2012}
}
Comments
2 pages