Decomposing the Brownian path via the range process

P. Vallois

Stochastic Processes and their Applications, 1995, vol. 55, issue 2, 211-226

Abstract: We decompose the Brownian trajectory from extremes, via the inverse of the range process. This allows us to construct a martingale which satisfies the chaotic property representation and is closely connected to parabolic martingale.

Keywords: 60G17; 60G40; 60G44; 60G55; 60J30; 60J65; 60J75; Range; process; Brownian; motion; Brownian; excursions; Martingales (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (2)

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