布朗运动的极大游程与首达极大时

The Maximum Excursion and the First Instance of Attaining Such a Maximum for Brownian Motion

  • 摘要: 本文给出了从球外任一点出发的布朗运动的极大游程的几种不同的定义,求出了极大游程的分布,以及极大游程与首达极大时的联合分布,作为推论求出了首达极大时的分布。

     

    Abstract: In this paper, we give some definitions of maximum excursion for Brownian Motion starting from the point of the outside of the ball. We obtain the joint distribution of maximum excursion and the first instance of attaining such a maximum. As a consequence, we obtain the distribution function of the first instance of attaining maximum excursion.

     

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