|
|
Городской семинар по теории вероятностей и математической статистике
25 февраля 2022 г. 18:00–20:00, г. Санкт-Петербург, ПОМИ, ауд. 311 (наб. р. Фонтанки, 27)
|
|
|
|
|
|
On a first hit distribution of the running maximum of Brownian motion
Ж. Рандон-Фурлинг |
Количество просмотров: |
Эта страница: | 150 |
|
Аннотация:
Considering the running maximum $S_t$ of a standard Brownian motion $B_t$, we study the distribution of the first time $T$ when it becomes less than the running time $t$. The motivation for our work comes from a mathematical model for animal foraging. We also compute the joint distribution of $T$ and $B_T$.
Reference: Randon-Furling, Salminen, Vallois. "On a first hit distribution of the running maximum of Brownian motion." Stochastic Processes and their Applications (2022)
https://www.sciencedirect.com/science/article/pii/S0304414921002258
|
|