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) |