Simple Approximations for the Distribution of the Range of a Brownian Motion

Erhard Reschenhofer

Journal of Statistical and Econometric Methods, 2013, vol. 2, issue 3, 1

Abstract: This paper proposes two simple approximations of the asymptotic density function of the range of a standard Brownian motion. The approximations are obtained from a flexible asymmetric density by imposing moment restrictions and by minimizing the Kullback–Leibler divergence, respectively.

Date: 2013
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