A conditional limit law result on the location of the maximum of Brownian motion

George Mathew and William P. McCormick

Statistics & Probability Letters, 1992, vol. 13, issue 3, 199-202

Abstract: Conditional on the maximum of Brownian motion exceeding a high level, an asymptotic result on the distribution of the location of the maximum is obtained.

Keywords: Maximum; Brownian; motion; extreme; values (search for similar items in EconPapers)
Date: 1992
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