Limit laws for Brownian motion conditioned to reach a high level

Michael Klass and Jim Pitman

Statistics & Probability Letters, 1993, vol. 17, issue 1, 13-17

Abstract: A functional limit theorem is presented for the behaviour of Brownian motion conditioned to reach a high level during a fixed time interval. The asymptotic behaviour of the conditioned path as the level tends to infinity is related to Williams' path decomposition at the maximum.

Keywords: Conditioned; limit; theorem; Brownian; motion; path; decomposition; at; the; maximum (search for similar items in EconPapers)
Date: 1993
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