| 非线性飘移布朗运动的极值分布 |
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| 引用本文： | 刘广应,陆敏.非线性飘移布朗运动的极值分布[J].数学杂志,2010,30(2). |
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| 作者姓名： | 刘广应 陆敏 |
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| 作者单位： | 南京审计学院应用数学系,江苏,南京,210029 |
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| 基金项目： | 江苏省高校自然科学基金 |
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| 摘 要： | 本文研究了从x出发的非线性漂移布朗运动的极大值、极小值和首达时问题.利用测度变换以及布朗运动的一些重要性质,如反射原理,增量的独立性等,获得了两种极值分布函数的精确表达式,得到了首达时的分布函数.结果表明,线性漂移布朗运动的极大值极小值以及首达时的分布问题的有关结果是本文结论的推论,最后给出一个例子.
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| 关 键 词： | 非线性漂移布朗运动 首达时 极值分布 |
THE DISTRIBUTIONS OF EXTREME VALUE FOR BROWNIAN MOTION WITH NONLINEAR DRIFT |
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| LIU Guang-ying,LU Min.THE DISTRIBUTIONS OF EXTREME VALUE FOR BROWNIAN MOTION WITH NONLINEAR DRIFT[J].Journal of Mathematics,2010,30(2). |
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| Authors: | LIU Guang-ying LU Min |
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| Institution: | LIU Guang-ying,LU Min(Dept.of Applied Math.,Nanjing Audit University,Nanjing 210029,China) |
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| Abstract: | In this article,we discuss the problem of extreme value for Brownian motion with nonlinear drift and study the distribution of the maximum value and minimum value and the first passage time.By using measure change and some important properties,such as,reflection property and the independence of increment,we obtain the exact expression for the distributions of two kinds of extreme values and also get the distribution of the first passage time.The conclusion shows that the result on extreme value for Brownian... |
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| Keywords: | Brownian motion with nonlinear drift the first passage time the distribution of extreme value |
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