| 暂留Brown运动的极大游程与极小游程 |
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| 引用本文： | 吕玉华,徐润,尹传存.暂留Brown运动的极大游程与极小游程[J].应用数学学报,2000,23(2):221-232. |
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| 作者姓名： | 吕玉华 徐润 尹传存 |
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| 作者单位： | 曲阜师范大学数学系,曲阜,273165 |
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| 基金项目： | 国家自然科学基金及山东省自然科学基金资助项目. |
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| 摘 要： | 对于暂留Ｂｒｏｗｎ运动，我们给出了极大游程与极小游程的若干定义，并且求出了极大游程（极小游程）的分布，以及极大游程（极小游程）与首达极大时（首达极小时）的联合分布．作为推论求出了首达极大时与首达极小时的分布。
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| 关 键 词： | 暂留Brown运动 极大游程 极小游程 维纳过程 |
MAXIMUM EXCURSION AND INFIMUM EXCURSION FOR A TRANSIENT BROWNIAN MOTION |
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| L YUHUA,XU RUN,YIN CHUANCUN.MAXIMUM EXCURSION AND INFIMUM EXCURSION FOR A TRANSIENT BROWNIAN MOTION[J].Acta Mathematicae Applicatae Sinica,2000,23(2):221-232. |
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| Authors: | L YUHUA XU RUN YIN CHUANCUN |
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| Institution: | L(U) YUHUA,XU RUN,YIN CHUANCUN |
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| Abstract: | For a transient Brownian motion, we give some definitions of maximum excursion and infimum excursion. We obtain their distributions, and the joint distributions of maximum (infimum) excursion and the first instance of attaining such a maximum (infimum). As a consequence, we obtain the distribution functions of the first instance of attaining such a maximum and the first instance of attaining such a infimum. |
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| Keywords: | Transient t Brownian motion maximum excursion infimum excursion first hitting time last exit time |
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