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The joint distribution of the maximum excursion and the minimum excursion for Brownian motion with drift. (English) Zbl 1141.60366

Summary: In this paper, the authors discuss the problem of extreme value for Brownian motion with positive drift. They obtain the joint distribution of the maximum excursion and the minimum excursion.

MSC:

60J65 Brownian motion
60J75 Jump processes (MSC2010)