| The Joint Distribution of the Maximum Excursion and the Minimum Excursion for Brownian Motion with Drift |
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| 作者姓名： | L Yu-hua~ |
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| 作者单位： | L Yu-hua~(1，2) XU Run~1 (1.Department of Mathematics，Qufu Normal University，Shandong 273165，China; 2.School of Mathematics，Nankai University，Tianjin 300071，China) |
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| 基金项目： | Supported by the National Natural Foundation of China(10271062,10411076)，Supported by the Research Fund for the Doctorial Program of Qufu Normal University(20050701) |
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| 摘 要： | In this paper,we discuss the problem of extreme value for Brownian motion with positive drift.We obtain the joint distribution of the maximum excursion and the minimum excursion.
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| 关 键 词： | 布朗运动 漂移作用 最大游弋 最小游弋 联合分布 |
The Joint Distribution of the Maximum Excursion and the Minimum Excursion for Brownian Motion with Drift |
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| LUe Yu-hua XU Run.The Joint Distribution of the Maximum Excursion and the Minimum Excursion for Brownian Motion with Drift[J].Chinese Quarterly Journal of Mathematics,2007,22(1):57-62. |
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| Authors: | LUe Yu-hua XU Run |
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| Institution: | [1]Department of Mathematics, Qufu Normal University, Shandong 273165, China [2]School of Mathematics, Nankai University, Tianjin 300071, China |
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| Abstract: | In this paper,we discuss the problem of extreme value for Brownian motion with positive drift.We obtain the joint distribution of the maximum excursion and the minimum excursion. |
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| Keywords: | Brownian motion ruin time the first hitting time the last exit time maximum excursion minimum excursion |
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